Combine milk, lemon peel, orange peel and cinnamon sticks in heavy medium saucepan. Bring to boil. Reduce heat to low and simmer 10 minutes, stirring occasionally. Remove from heat. Discard lemon peels, orange peels and cinnamon sticks.
Using electric mixer, beat egg yolks and sugar in large bowl until light and lemon colored. Beat in cornstarch. Gradually whisk in hot milk. Return mixture to same saucepan. Cook over medium heat until mixture boils, whisking constantly, about 10 minutes. Divide custard among six 2/3 cup custard cups. Refrigerate at least 3 hours or overnight.
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