1) Place the oats and milk in a medium saucepan over medium-high heat and bring to a rapid simmer. Reduce the heat to medium-low and cook, stirring constantly, until the oatmeal is thick, about 10 minutes.
2) Add sugar, to taste, and set the oatmeal aside to cool slightly.
3) Transfer the oatmeal to a container and refrigerate it for at least 2 hours or overnight. Sieve the liquid, add the vanilla and add more milk if you want it thinner. Serve cold.