Step 1: In a heavy small saucepan, heat milk over medium-low heat until steaming and bubbles form around edge (watching closely not to burn the milk!).
Step 2: Meanwhile, in bowl, whisk egg yolks with sugar until pale. Whisk in about half of the milk in thin steady stream; stir back into pan. Cook, stirring occasionally, until thickened enough to lightly coat back of spoon, about 3 minutes. Stir in vanilla and rum extract. Stir in bourbon.
Step 3: Pour into mugs.
Step 4: Whip cream; dollop onto each drink. Sprinkle with nutmeg.
Step 5: Insert one cinnamon stick in the glass.
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