Vanilla sugar has got be the easiest thing in the world to make. Seriously. There are two ingredients: sugar and vanilla beans. You don't even have to measure anything!
Pick a container. I used a cool vintage jar I found at a thrift store and sterilized.
Get yourself some vanilla beans. You can buy them in a grocery store, but they're going to be expensive. I get mine from the Arizona Vanilla Company. I go for the Grade B beans since they're a bit cheaper, but just as good for using. The reasons they are B grade are purely cosmetic.
Cut 2-3 beans (or more if you're using a large container or just want stronger sugar) lengthwise to expose the caviar (all the good pasty seeds in the center). I leave mine connected on one end, but that's not essential.
Place the beans in your container and fill with sugar. Close it up and let it sit. It'll take a week or so before the sugar is really ready, but it will last just about forever. Substitute the vanilla sugar in anything that calls for sugar. You'll be amazed at the lovely aroma and depth of flavor it gives to any baked good or just your morning coffee!