Combine sugar and cornstarch in a medium heavy saucepan. Add 1/2 cup milk; stir with a whisk until well blended. Add remaining 1 1/2 cups milk and salt; bring to a simmer over medium heat, stirring frequently. Reduce heat to medium-low; cook 9 minutes, stirring frequently.
Place egg in a medium bowl. Gradually add hot milk mixture, stirring constantly with a whisk. Return egg mixture to pan; cook over medium-low heat 3 minutes or until thick, stirring constantly. Remove from heat; stir in vanilla. Pour into a bowl; cover surface with plastic wrap. Cool completely. Uncover and sprinkle with nuts. Garnish with nutmeg, if desired.