How to Make It
To make the caramel dipping sauce a.k.a. cajeta, place the milk, sugar, and vanilla in a large, heavy-bottomed pan (large is important and you’ll see why later). A copper pan is traditional in Mexico, but any heavy-based enamel or steel pan will work fine. I’d advise against using cast iron because of the risk of damaging the pan.
Over a low heat, slowly melt the sugar into the milk and add the vanilla extract. Bring to a gentle simmer, stirring constantly with a wooden spoon, so you don’t burn your hand.
Dissolve the baking soda in a tablespoon of water and quickly add this to the milk, still stirring. Within seconds the liquid will double in volume, so quickly turn the heat down if you need to.
Now, for the next 4 to 5 hours, with the heat on low, it is a matter of stirring occasionally and making sure it doesn’t burn. Perhaps use this time to finish those odd jobs around the house you’ve been putting off.
Sterilize three jam jars. The easiest method is to wash them in hot soapy water, rinse but not dry them, and then bake them in the oven at 350°F for 15 minutes.
The cajeta should now be glossy and caramel colored. It will thicken as it cools. Carefully pour into the sterilized jars, screw on the lids, then immediately turn the jars upside down and leave to cool completely. This will create a vacuum seal and it simply means that you’ll be able to keep the cajeta for longer. You can store it in a cupboard until opened, then keep it in the fridge and use within 6 months (if you can manage it; it’s more likely that you’ll scarf the lot).
To make the churros, you’ll need to invest in a heavy-duty piping bag with a star nozzle or a specialist churro gun, which you can find online.
Gently heat the oil in a heavy pan. You want the oil to be at least an inch deep.
In a separate pan, add the water, light brown sugar, and butter, and melt. Bring it to a boil and add the flour and salt. Combine the lot with a spoon and some elbow grease until you have a batter that looks like wallpaper paste.
Beat the eggs in a bowl with the vanilla and combine this with the flour mix. You will now have a smooth, glossy batter.
Finely mince the Serrano ham and add this to the batter. Combine the superfine sugar and cinnamon and set aside.
Load up your churro gun or piping bag with the nozzle already inserted. Test the temperature of the oil with a pea-sized ball of the batter. If it browns fully in 90 seconds, then it’s ready.
To create the classic teardrop shape, pipe the mix on to a sheet of the baking parchment and, using a pair of scissors, snip the batter clean from the nozzle.
Gently lower the churro, paper attached, into the hot oil. After 30 seconds it will come free of the paper; using tongs, carefully discard the paper.
Continue to cook for 1 minute, then flip and cook for another minute. Remove from the oil and drain on kitchen paper. Repeat with the remaining batter. Leave to cool for a minute so that you don’t burn yourself, then sprinkle each churro gently with cinnamon-sugar. Serve with cajeta and coffee.