Take your time and do not rush the process when thickening this custard.
Bring cream to a boil in a small saucepan. Remove from heat and add vanilla. Allow to sit for 10 mins. Beat egg yolks until creamy. Add yolks to cream gradually, mixing on low. Add splenda and simmer gently over low heat, stirring constantly, until its thickens. Refrigerate at least an hour before serving.