In a bowl add the egg yolks and sugar. Whisk them vigorously together until sugar dissolves and eggs turn pale yellow and foamy.

In a small sauce pan add the milk with the vanilla. Bring it to a simmer over medium heat. Do not boil the milk.

Add half of the milk to the egg mixture and continue to whisk. Add the other half and whisk again. Pour the mixture back into the pan.

Stir the custard over low heat using a spatula until it thickens and leaves path on back of spoon when finger is drawn across, about 5 minutes.

Strain sauce into a jar or other container. Cover and chill. It can stay in the refrigerator for 3-4 days.