Combine sugar, milk and baking soda in large saucepan. Bring mixture to a boil over high heat, stirring constantly. Continue boiling and stirring until praline mixture reaches 240 degrees F on candy thermometer (soft-ball stage); this will take 15 to 20 minutes total.
Remove the saucepan from the heat. Add butter, vanilla and pecans. Using wooden spoon, beat until mixture begins to hold a shape, about 2 minutes; do not overbeat or sugar will begin to crystallize. Drop by tablespoonfuls on lightly greased waxed paper, using second tablespoon to scrape mixture off spoon. Cool pralines at room temperature until set. Makes 1-1/2 dozen.