Line a large colander with a cheesecloth, allowing it to hang over the sides.
Crack eggs into a large mixing bowl and beat slightly. Stir in sugar, salt, vanilla and nutmeg. Set aside.
Heat milk in large saucepan over low heat until almost boiling, do not scorch. Slowly stir in egg mixture, whisking constantly. Cook over low heat, stirring, until the mixture binds.
Pour the hot mixture into the cheesecloth colander. Lift cheesecloth out of bowl, squeezing to remove as much liquid as you can. Tie cloth up tightly. Let it hang over sink or bowl for up to 3 hours. Cover with a damp linen and place in refrigerator for at least 24 hours. Remove cheesecloth and slice to serve.