Heat the Milk: Pour the milk into a saucepan and heat over medium-low heat until it is warm but not boiling.
Whisk Egg Yolks: In a separate bowl, whisk the egg yolks and sugar until the mixture becomes pale and creamy.
Combine Mixtures: Slowly pour a little warm milk into the egg mixture while whisking continuously to prevent the eggs from scrambling.
Cook the Custard: Pour the mixture back into the saucepan. Cook over low heat, stirring continuously with a wooden spoon until the sauce thickens enough to coat the back of the spoon. Do not boil.
Add Vanilla: Remove from heat and stir in the vanilla extract.
Cool and Serve: Strain through a fine-mesh sieve for a silky texture. Serve warm or chilled with your favourite desserts.