Heat whipping cream in a heavy saucepan over medium heat until hot.
Whisk together yolks and sugar in a heavy saucepan until blended. Add hot whipping cream in a slow, steady stream, whisking constantly.
Cook mixture over medium heat, stirring constantly, until thick enough to coat a spoon (do not boil). Remove from heat. Immediately place pan in a bowl of ice, and let stand, stirring constantly, until cool. Stir in vanilla. Chill until ready to serve or up to 2 days.