*Peel the lemon with a vegetable peeler and cut the peel into fine strips. I chose to chop the lemon strips into very small pieces. *Try to remove as much of the white pith from the lemon peel as you can to avoid the pudding tasting bitter.
Mix the lemon peel, rice, sugar, milk/dairy and vanilla extract/paste (or rum if you prefer) in a small ovenproof dish. Tip: I buttered the ovenproof dish (a 3-quart Pyrex casserole dish) first to avoid the rice pudding sticking.
Place in the oven and cook UNCOVERED for about 2 1/2 hours, stirring every 45 minutes or so. Set aside to cool or eat warm. The pudding will thicken as it cools.