Preheat your oven to 350°F (175°C). Line a baking sheet with parchment paper and set aside.
In a medium saucepan over medium heat, combine the granulated sugar and unsalted butter. Stir continuously with a whisk until the mixture begins to simmer and the sugar dissolves, about 2-3 minutes.
Once the mixture is boiling, let it continue to boil without stirring for about 2 minutes, watching closely to avoid burning.
Remove the saucepan from heat, and immediately stir in the baking soda, salt, and vanilla extract. The mixture will bubble up; continue stirring until well combined.
In a large mixing bowl, pour the caramel over the Cheetos and gently stir with a wooden spoon or spatula to coat the Cheetos evenly.
Spread the caramel-coated Cheetos in an even layer on the prepared baking sheet.
Bake in the preheated oven for 10 minutes, stirring halfway through to ensure even caramelization.
Remove from the oven and let it cool completely. The caramel will harden as it cools.
Once cooled, break apart any clumps and serve in a bowl or store in an airtight container.