How to stop steel cut oats from burning?
There are three factors when cooking oats or similar like cooked pudding or flan:


Stirring
You have to be fairly diligent because if you do not stir constantly or at least in quite short intervals, the starchy mix near the bottom will stick. You need to "scrape" the entire bottom, not forgetting the outer areas or some streaks in the middle. This is somewhat connected to:
Heat
The lower your heat, the lesser the risk of burning - simply because you have a bit more time until you need to stir up the layer closest to the pot's bottom. Less splatter is a nice side effect, too. If you initially bring your milk to a vigourous boil, you might still have too much residual heat even if you turn down your stove.
Sugar
Yes, you didn't mention it, but in my observation adding sugar early during the cooking process might sweeten "the inner parts" of your oats better, but it heightens the risk of burning. Adding sugar at the end allows me to use less sugar for the same percieved sweetness as well.




You could also consider a non-stove technique like cooking them in a microwave, but you need to watch it closely the first few times to figure out the ideal power / timing combination for your serving sizes and microwave power, otherwise the oats have a tendency to "creep out" of your bowl and we're back at the "a pain to clean" stage. Soaking the oats overnight (-> overnight oats) can reduce the cooking time, because they are already soft.