If you don't like mezcal, you can use double the amount of tequila (3 cups of tequila instead of 1.5 cups tequila and 1.5 cups mezcal).
Pour the cocktail mixture into the whole milk, not the other way around, for better clarification.
Allow the mixture to sit at room temperature for at least 3 hours (or anywhere from 30 minutes to an hour per serving of cocktail). For this recipe, it's advised to wait 2.5 to 3 hours.
The straining process with the coffee filter will take approximately 6-8 hours.
You can make this drink a week or two in advance and store it in the fridge to save time before hosting a party.
To make smoked cinnamon simple syrup, combine equal parts sugar and water in a pot. Add 2 smoked cinnamon sticks per 1/2 cup sugar and water. Light the cinnamon sticks on fire carefully and let them burn for about 10 seconds before adding them to the pot. Let it simmer over low heat, stirring occasionally, until the sugar dissolves (about 5 minutes per 1/2 cup). Remove from heat, let it cool completely, and then remove the cinnamon sticks.