Prepare an ice bath: Fill a large bowl with ice. Find a medium bowl that will nest inside it, along with a sieve. You’ll use these to cool the custard later.

Warm the milk and vanilla beans in a small saucepan over low heat. In a medium-size bowl, whisk the egg yolks and sugar. When the milk begins to cling to sides of pan, whisk it gradually into egg and sugar mixture a little at a time, to form a custard base.

Return the egg, sugar, milk, and vanilla bean mixture to the saucepan and stir over low heat. Be careful not to overheat the eggs or they’ll scramble. Custard is ready when it’s just thick enough to write an initial in it on the side of a wooden spoon.

Crumble the goat cheese into a medium-size bowl. Pour the hot custard through a sieve over the goat cheese. Whisk vigorously. Remove the vanilla beans. (To store them for future use, rinse the pods well using water or vodka. Pat them dry and refrigerate the beans in a container filled with white sugar. The sugar will also absorb the vanilla flavor, making it great for baking.)

Place the bowl with the custard mixture over the ice bath and continue whisking to stop the cooking. If the mixture is lumpy, blend in a food processor or with an immersion blender. Cover and refrigerate until the mixture reaches 40°F, at least 12 hours. (If mixture is too warm, it won’t freeze properly.) Freeze in an ice cream maker according to manufacturer instructions, stirring in the cold brownie pieces at the end of the process.