In a small saucepan, combine milk, cinnamon, nutmeg, and vanilla.
Bring the mix to a low boil over low heat.
In the small bowl combine the egg yolks with the sugar, whisking until the mixture turns a light pale color.
While continuing to whisk, slowly add the heated milk mixture. Do not add too quickly as this would cook/scramble the eggs. Mix until ingredients are completely combined.
Return the mixture to the saucepan and cook over medium heat until slightly thickened. The mixture should coat the back of the spoon.
Remove from heat and add the heavy cream. Stir.
Chill for several hours before serving.
Add whipped cream, cinnamon, cinnamon stick, or star anise when serving, if desired.