In large bowl, beat egg yolks with whisk until lightened. Gradually add sugar, beating until blended. Gradually add warm milk mixture, stirring until combined. Return mixture to saucepan. Cook over low heat, stirring constantly, until mixture thickens, coats back of spoon and reaches 170°F. Remove from heat; stir in vanilla. Cool 30 minutes. Refrigerate until cold, at least 3 hours or up to 24 hours.