Both the evaporation of water and the coagulation of the proteins work together to form a skin on the surface of cooked milk dishes like creamy soups, puddings, and even a mug of hot chocolate. The thickness and chewiness of the skin is affected by how hot the milk is heated (resulting in more evaporation and coagulation) and the fat content in the milk (which encourages coagulation). The skin starts forming on the stovetop and continues forming as the dish cools.
The easiest way to prevent a skin from forming is to stir the milk as it heats and then to continue stirring occasionally as it cools. This breaks up the protein clumps and makes sure the temperature of the milk stays even throughout. Pressing plastic wrap or wax paper against the surface of a cooling dish also discourages a skin from forming. This prevents evaporation and keeps the surface moist.
Or if you're like us and you like the skin, just do nothing!
Related: Fresh Milk: What Kind Do You Buy?