In a large pot, add the milk, sugar and dates, and insert the candy thermometer. Cook on medium-low heat, stirring occasionally with a wooden spoon. The mixture will darken in color as it cooks.
After about 30 minutes, the mixture will reach the soft-ball stage (a temperature of 235°). Remove from heat and stir in the pecans, vanilla, cinnamon and salt. Let cool for 10 minutes, then spoon out onto the length of a clean, cold and damp tea towel (do not use terry cloth).
When cool enough, roll into a 2-inch-wide loaf, wrap in wax paper and refrigerate for at least 8 hours. After candy has chilled, slice loaf into pieces.