In a medium size saucepan, heat the milk until steaming (do not let it boil). Remove from heat. In a bowl, whisk together egg yolks, corn flour, sugar and vanilla until a thick paste. Whilst whisking, pour a little of the hot milk into the egg/sugar mixture until combined. Continue adding the hot milk slowly until everything is combined. Return to the saucepan and let simmer over medium heat until thickened - whisk continuously to avoid lumps forming. Once thickened (you should be able to make soft blobs that don't disappear immediately - it will thicken more when it cools) pour into a bowl and place clingfilm directly onto the top of the custard. This avoids a skin forming. Leave to cool completely - the fridge quickens this step.