All you need is alcohol and vanilla beans.
I use a 750ml bottle of 80 proof rum. You can use tequila, rum, or whiskey. I like the flavor of rum best, so that's what I use. You want about 3-5 beans per 8oz of alcohol (depending on the quality of the bean).
Slice the vanilla beans down the middle lengthwise to expose the beans. Then drop them into the bottle of alcohol. Cap it up and put it in a cool dark location. Just give it a shake every few days for no less than a month. The longer it sits, the stronger the vanilla.