1. In a heavy saucepan combine the milk, vanilla, baking soda and sugar; stir from time to time, off the heat, until the sugar is dissolved. Bring to a simmer and cook over very low heat, to prevent the milk from boiling over, stirring occasionally with a wooden spoon until the mixture is thick and golden brown.
2. When the mixture begins to thicken, stir constantly. The sweet is ready when the bottom of the saucepan can be seen when the spoon is drawn across.