I made my own vanilla extract a couple years ago and am still using it. All I did was buy a small bottle of vodka and toss in a few vanilla beans (I forget if I slit them first but I think I must have.) Then I wrapped it in a towel and put it in a drawer I never open for a couple of months. Voila, vanilla!
But I learned a few things from this recipe. First, you can use rum instead of vodka. And you can keep the same stuff indefinitely by just topping it off with more liquor from time to time. Nice.