In a medium, saucepan (preferably with a heavy bottom) whisk together the egg yolks and sugar until well combined. Whisk in the milk.

Place the pan over low heat and cook until the mixture is thickened, about 12-15 minutes, stirring almost constantly, especially at the end. The mixture should not bubble or boil; it should be thick enough to coat the back of a spoon. Remove from the heat and stir in the vanilla and if desired, a shake of salt.