In a mixing bowl, whisk the egg yolks until just combined. Gradually whisk in the sugar and curry powder until well combined. In a small saucepan, bring the milk to a simmer. Gradually whisk the hot milk into the egg mixture. Pour the mixture into the top of a double boiler. Pour enough boiling water into the bottom of the double boiler to come halfway up the side. (If you don’t have a double boiler, improvise by putting one saucepan inside another.) Gently cook the custard, stirring slowly but constantly with a wooden spoon and reaching all over the bottom and sides. The sauce is done when it thickens enough to leave a clear track on the back of the spoon when you draw your finger across it. Stir in the vanilla. Pour the custard into a pitcher or serving bowl. Serve warm or chilled. The sauce may be made 1 to 2 days in advance and stored in the refrigerator in a covered container.