1. Ask a grown-up to split vanilla bean down the center with a knife and scrape out the inside. Add that to the cinnamon stick, goat milk, piloncillo, baking soda, and kosher salt in a thick-based 4-quart pot.
2. Have a grown-up to bring ingredients to a simmer, stirring constantly to prevent liquid from boiling over. Cook at a low simmer until sugar dissolves. Milk will be slightly foamy.
3. A grown-up should lower heat to barely a simmer and cook for 45-60 minutes, stirring occasionally at beginning. As the cajeta thickens, stir more frequently to prevent burning.
4. Cook until swiping spatula across bottom of pot leaves space that takes 2-3 seconds to close.
5. When finished, pour cajeta into a heat-proof glass jar for storage and let cool completely!