In a small, heavy saucepan, heat cream and vanilla until bubbles form at edges.
While cream is heating, whisk together egg yolks and sugar until smooth. Slowly pour 1/2 cup of hot milk mixture into egg yolks, whisking constantly. Gradually add egg yolk mixture back to remaining milk mixture, whisking constantly. Continue to cook, stirring constantly, until the mixture coats the back of a spoon.