1. Bring the milk to the boil with the sugar and a pinch of salt in a heavy-based saucepan, stirring until the sugar dissolves.
2. Stir in the desiccated coconut and cook over medium-low heat, stirring often, for 12-15 minutes until most of the milk has evaporated and the mixture is thick.
3. In a bowl, mix the egg yolks with the vanilla and stir in a ladleful of the hot coconut mixture to warm them (so they don't scramble).
4. Pour back into the pan and cook, stirring constantly, for another 3-4 minutes until the mixture pulls away from the sides. Preheat the oven to 180 °C.
5. Let it cool slightly, then use two tablespoons to shape small mounds on a lined baking tray.
6. Bake for 12-15 minutes until the tops and edges are golden. Leave on the tray to cool and firm up completely.
Tip: For moister, softer cocadas, skip the baking: simply spread the mixture into an oiled dish and cut into squares once cool.
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