In a large saucepan over medium heat, combine milk, sugar, baking soda, cinnamon stick, cloves, and nutmeg and bring to a simmer.

Turn off the heat and let the spices steep in the milk for 15 minutes.

While the milk is steeping, set up a large bowl with a strainer over it near the stove.

After the milk has steeped and cooled for 15 minutes, whisk the egg yolks in a small bowl and stir into the milk, whisking constantly.

Turn the heat back on to medium-low and cook the milk and egg mixture, stirring constantly until the mixture is thick enough to coat the back of a spoon.

Immediately strain the mixture to stop the cooking and to remove the cinnamon stick, cloves, and any curds that may have started to form.

Stir in the rum or brandy and vanilla extract.

Serve right away or store in a covered container in the refrigerator for up to two weeks.