Preheat oven to 375ºF. Brush a rimmed baking sheet with melted butter. Lay a pastry sheet on top. Brush with more butter, then sprinkle with sugar and nuts. Repeat with remaining pastry sheets, butter, sugar and nuts, ending with sugar and nuts. (Each layer should have approximately 1 heaping Tbsp. sugar as well as 1/4 cup nuts.) Bake until golden brown and crisp, 10 to 15 minutes. Allow to cool on baking sheet on a wire rack. Break pastry into pieces.
In a bowl, mix together yogurt and vanilla. In 4 glasses, alternate layers of yogurt, honey and phyllo pieces. Serve immediately.