Set a fine-mesh sieve on top of a 1-quart bowl and set aside for straining the custard after cooking. In a heavy 1½-quart saucepan, combine the milk and 2 tablespoons of the sugar; set aside. In a small bowl, whisk the egg yolks until blended, then whisk in the remaining 2 tablespoons sugar; set aside.

Place the saucepan over medium heat and bring the milk just to a boil. Remove from the heat and pour about half of the hot milk mixture into the egg yolk mixture while whisking constantly. Pour the combined mixtures back into the saucepan and whisk to combine.

Return the pan to medium-low heat and cook, stirring constantly over the entire bottom of the pan with a wooden spoon, until an instant-read thermometer registers 165 to 170 degrees F, or until the custard is thick enough to coat the spoon and leave a clear path when your finger is drawn down its center, about 45 seconds.

If you are not using a thermometer, look for steam, which signals that the mixture is approaching the correct temperature. Do not allow the mixture to boil or it will curdle.

Remove from the heat and quickly pour through the sieve. Set aside for 10 minutes, stirring occasionally. Stir in the vanilla and Grand Marnier and orange zest, if using, and then cover and refrigerate. The sauce thickens slightly as it cools. Serve within 2 to 3 days.