Heat the vegetable oil in a large heavy pot to 350 degrees F. Preheat the oven to its lowest setting and place a wire rack set into a baking sheet inside.
Meanwhile, place the cornflake crumbs in a rimmed plate or cake pan. Pour the sweetened condensed milk into a medium bowl. Using the can as a measuring cup, add a canful of milk and another can full of half-and-half. Add the egg yolks and whisk well.
Mix together the sugar and cinnamon in a large rimmed plate or cake pan.
Dip a waffle into the milk mixture and let it soak for 15 seconds. Move to the cornflake mixture and coat well, then fry until golden brown, turning once, about 2 minutes total. Drain briefly over the hot oil, then dip both sides into the cinnamon sugar. Move to the wire rack in the oven to keep warm while you repeat with the rest of the waffles.
Put the chocolate chips, heavy cream and light corn syrup in a microwave-safe bowl and microwave in 30-second intervals, stirring after each interval, until melted and smooth. Add the cayenne pepper and salt and stir to combine.
Serve the waffles immediately, drizzled with the chocolate sauce.
This recipe can also be made with a 13.23-ounce can of sweetened condensed milk, but it should use equal parts milk and half-and-half; if you are using this smaller can size, just use the can as your measuring cup for the milk and half-and-half.