4. For the pudding, combine the cornstarch, sugar, salt, cinnamon, and cayenne in the top of a double boiler or a heatproof bowl set over a larger pot filled with 1 inch of water. Slowly whisk in the milk, scraping the bottom and sides with a heatproof spatula to incorporate the dry ingredients. Place over gently simmering water and stir occasionally, scraping the bottom and sides. Use a whisk as necessary should lumps begin to form.