Combine all ingredients except the vanilla extract in a medium saucepan. Bring to a boil. Let it boil for about 3-4 minutes, stirring continuously, then lower to a simmer. Let it simmer (stirring as needed) until it cooks down to about half its volume and thickens. This usually takes around 50-60 minutes, depending on your climate, stove, and the fat content in your particular can of coconut milk.
Turn off the heat, stir in the vanilla, and let it sit for about an hour. Cover and refrigerate overnight as it continues to thicken as it sits.