Heat oven to 300ºF. Line a half sheet pan with parchment paper.
Spread milk powder in a thin, even layer the prepared sheet pan and bake until golden brown and crumbly, about 20 minutes. Remove from oven and cool. Odds are good the milk powder will be stuck together in lumps and if that's the case, simply pulse it in a food processor a few times. (Toasting the milk powder is technically optional but personally, I think the flavor is worth it.)
Transfer the toasted and cooled milk powder to an airtight plastic container and add the sugar, cocoa powder, cornstarch, fine salt, and cayenne, if using. Cover and shake to thoroughly combine. Tightly sealed, the powder will keep nearly indefinitely in the pantry.
For one serving, heat 3/4 cup (6 fluid ounces or 175 ml) of water to a boil, then remove from the heat. Spoon 1/4 cup of the cocoa mix into a heavy mug and whisk in 1/4 cup (2 ounces or 60 ml) of the water to create a paste. Slowly whisk in the remaining hot water. Let sit about 30 seconds because otherwise you'll scald your face while attempting to chug the deliciousness.