Cook sugar in a saucepan over medium-high heat until it begins to dissolve, swirl the pan and continue to cook until it becomes golden brown (5-10 minutes). Remove from heat, add cream; be careful, mixture will spit. Return saucepan to heat and stir until caramel dissolves.
Place milk in a saucepan with vanilla bean and star anise. Warm over a low heat until milk comes almost to the boil, then strain.
Spoon a little caramel into serving cups, top with milk, dust with nutmeg and serve.