In a large sauce pan over medium heat, bring the milk, sugar and salt to a light simmer. Add the vanilla and then sprinkle the top with the baking soda and whisk until combined.
Turn down the heat to medium low. Cook, stirring often, until it begins to change color and gets thicker. This takes a lot of patience and will take between 1 ½ to 2 hours. Make sure to stir very often! Do not scrape anything that sticks to the bottom of the pan. This can cause clumps in the sauce.
If the sauce is too thick or lumpy, add to a blender and blend until smooth. Pour through a small mesh strainer.
Serve warm, or cool completely to store.