Preheat oven to 350F with the top rack in the middle position. Line a baking sheet with parchment paper.
Combine the sugar and cinnamon in a small bowl and set aside.
Cut each thick slice of bread into 3 to 4 vertical pieces.
In a 9×9-inch square baking dish or shallow dish, whisk the milk, eggs, and vanilla.
Soak:
Dip the sliced breadsticks in the egg mixture, turning each stick to soak up enough liquid on all the sides, about 10 seconds per side. Lift them out using a fork, letting any excess liquid drip back onto the dish. Place the on the prepared baking pan as you go.
Once they're all on the baking pan, sprinkle a little of the cinnamon sugar mixture over the tops. Reserve half for the very end.
Bake:
Bake in the preheated oven for 12 minutes. Remove the tray from the oven, flip the French toast sticks over, and give them another quick sprinkle of cinnamon sugar. Return the tray to the oven to bake for an additional 12 to 15 minutes. If using regular toast slices, total baking time will be, shorter, about 16 to 20 minutes.
Serve:
Remove the tray from the oven. Sprinkle the remaining cinnamon sugar over the French toast sticks or roll them, using kitchen tongs, over the cinnamon sugar spread on a plate.
Serve warm as is or dipped in syrup.
Notes
You can freeze these French toast sticks just like the store-bought kind. Bake them as directed, let them cool, then freeze on a tray for 1 hour. Transfer to a freezer-safe bag and store for up to 3 months. To reheat, microwave for 1 minute, flipping halfway through.