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Put heavy cream in top of a double boiler.
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Add sugar.
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Place over boiling water and scald (i.e., heat almost to boiling).
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Remove from heat and add chocolate and stir until completely melted.
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Beat egg yolks and gradually beat them into the hot chocolate cream mixture.
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Place top of double boiler over boiling water again and cook, stirring constantly, until well thickened (about 3 minutes).
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Remove from heat, stir in vanilla, and then pour into 6-8 small custard cups (1/2 cup size).
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When cool, place in refrigerator to chill before serving.