To make custard sauce, stir milk and sugar in a saucepan over medium heat. When bubbles start to form at the edges, slowly pour a stream of about 1/2 a cup into the beaten egg yolks, whisking constantly. Gradually whisk the yolk mixture into remaining hot milk and return to medium-low heat until it thickens enough to coat the back of a spoon, about 5 minutes. Strain through a fine-mesh sieve into a bowl set within an ice bath to cool a bit, then stir in vanilla extract. You can serve it warm or cold.