Combine egg yolks and sugar in top of a double boiler, beating well. Gradually add scalded milk, stirring constantly. Cook over boiling water, stirring constantly with a metal spoon, 20 minutes or until mixture coats the spoon. Remove from heat; cool to room temperature. Chill thoroughly.
Beat whipping cream until soft peaks form. Fold into chilled custard mixture; fold in vanilla. Cover and refrigerate 2 hours.