In a heavy saucepan, combine milk and cream and cook over medium-low heat. Stir occasionally so skin does not form. The mixture should come to a light simmer; DO NOT let it boil.
Meanwhile in a medium-sized heat-proof bowl, whisk together the yolks and sugar until smooth. Temper the yolks by slowly pouring in the milk/cream mixture in a steady stream. Be sure to whisk continuously.
Return the mixture to the saucepan over a low heat. Cook until the custard is thick enough to coat the back of a wooden spoon. Stir frequently with a wooden spoon and DO NOT bring the mixture to a boil.
Pour the mixture through a mesh strainer into a new bowl. Let the mixture cool to room temperature, stirring about every 5 minutes. Once completely cooled, stir in the cinnamon and vanilla slowly. Store in the refrigerator for at least 4 hours.
When the custard has chilled, pour the mixture into a container of an electric ice cream maker and churn according to manufacturer's instructions. Transfer gelato to an airtight container and freeze for at least 2 hours before serving.