Infuse the vanilla pod in warm milk for at least 30 minutes. Remove the vanilla pod from the milk and bring it to the boil.
Place egg yolks and sugar in a bowl and whisk for 2 to 3 minutes. Pour the flavoured milk onto the egg mixture in a thin stream, whisking all the time.
Pour the egg and milk mixture back into a heavy-based pan and continue to whisk constantly over medium heat until the mixture thickens. Test the consistency by running your finger through the custard on the back of a wooden spoon. It should leave a clear line.
Cover and chill the custard overnight so that the flavours blend.