Peel lemons and oranges, being careful not to include any white pith or pulp. Place peels in a bowl and cover with alcohol. Soak for 1 week on the countertop. Note: It's helpful to place a plate on top of the peels so they don't float to the top.

After a week, strain lemon and orange alcohol and discard peels. Pour into a heavy-bottomed, large saucepan. Add milk, sugar, whiskey and vanilla. Bring to a boil, then reduce until just bubbling and cook for 5 minutes. Stir continuously, and keep a close eye on it so it does not boil over. Remove from heat and let cool completely. A thin film will form on top of the limoncello. Skim it off and discard, then pour thorough a fine mesh sieve.

Pour into bottles and freeze.

Note: We use plastic containers, which are safer to handle than glass, but either can be used. Keep in freezer at all times. Shake before using.