Combine egg yolks and sugar in the top of a double saucepan and work the mixture with a wooden spoon until smooth. Bring the milk to a boil and add vanilla extract; then add milk gradually to the yolk mixture, stirring rapidly with a wire whisk. Cook over boiling water until the mixture becomes smooth and thick. Do not allow mixture to boil, or it will curdle.
Soften the gelatine in col