Fill a cocktail shaker with ice. Pour in the milk, half-and-half, vanilla, bourbon, and powdered sugar.
Secure the lid in place and shake vigorously for 30 seconds until chilled.
Strain the cocktail into a rocks glass. Grate some fresh nutmeg over the top before serving.
While I would love to tell you this cocktail works well in large batches, it's just not the same. You need the ice to mix the sugar into the cocktail. So suck it up, do yourself a solid, and make this drink to order.