To make the chai honey syrup. In a medium pot, bring 1/2 cup water to a boil. Remove from the heat, add the chai tea bags, cover and steep 10 minutes. Remove the tea bags and add the honey. Bring to a boil over high heat. Boil 3-5 minutes, then remove from the heat. Stir in the vanilla. Let cool. This syrup makes enough for about 6 drinks.If desired, rim your glass with vanilla sugar.In a cocktail shaker, combine 1-2 tablespoons chai syrup, vodka, Kahlua, espresso, and coconut milk. Add ice and shake vigorously for 1 minute. Strain into the prepared glass. Garnish with grated nutmeg and star anise, if desired.