While almond milk and other nut milks are now a staple on supermarket shelves, many consumers prefer to make their own. This isn’t as hard as it sounds — as long as you have the right nut milk bag.

Getting ahold of delicious almond or cashew milk is much harder than it should be. Store-bought brands often fail to capture its smooth and rich charms. That, or they cost way too much. In other words ...