Place twelve 2-ounce plastic cups on a baking sheet with the lids off.
Pour gelatin into a medium mixing bowl. Add 1/4 cup cold milk to gelatin. Stir to combine and then set aside.
Heat remaining 1/2 cup milk in a small saucepan over medium heat until it just starts to simmer.
Pour hot milk into bowl with gelatin and whisk to combine until gelatin has dissolved. Add the sugar and whisk until dissolved.
Add cold heavy cream and vodka. Stir into milk mixture.
Pour jello mixture into the plastic cups. A measuring cup with a spout works great for this. Fill each cup until almost full. You want some room at the top so you can put a lid on later.
Transfer jello shots to fridge to chill for 2 hours, or until jello is set.
When ready to serve, remove the shots from the fridge. Pop lids on top and you're all set.
If you want your shots to look fancy, add a little whipped cream and some chocolate shavings on top of each shot.