Place milk, sugar and lemon peel (just the peel - none of the pith) in a heavy saucepan. Bring mixture to a boil, stirring constantly until sugar melts. Reduce heat to low and add the rice.
Cover the pan and cook until the rice/milk mixture has gone thick and creamy (about 30-35 minutes).
Turn off heat. Remove lemon peel and discard.
Whisk together egg yolks with corn flour.
Quickly whisk egg yolks into the rice mixture, stirring well. (If you want to, at this point you can also add a 1/2 tsp of vanilla extract). Keep stirring to make sure yolks are incorporated and won't curdle.
Spoon pudding into four serving dishes and cool. Top with a sprinkling of cinnamon.