Pour the sugar, milk, and vodka into a glass bottle.
Cut half the lemon and half the orange with peel into large cubes and add to the bottle.
Cut the vanilla pod lengthwise and add to the bottle.
Add the juice from the remaining lemon half to the bottle.
If air remains at the top, fill with equal parts milk and vodka.
Close the bottle tightly and shake well.
Let steep in a cool, shady location in the kitchen for 10 days, shaking the bottle once per day.
After 10 days, filter the liquid through a double layer of cheesecloth several times until clear. You can use a coffee filter instead, but it clogs quickly and will require more filters to achieve clarity.