Separate the eggs and place the yolks in a bowl. The whites can be put into an airtight container and refrigerated for later use as we only need the egg yolks for this recipe.

Add sugar to the yolks and use a hand blender or whisk to whisk them together till pale and creamy.

Heat milk and nutmeg in a saucepan and bring it to a gentle simmer over medium heat.

Slowly pour the milk into the egg mixture in a single, steady stream while whisking continuously. Make sure to add the milk mixture in a thin, steady stream so that you don't scramble the eggs.

Transfer the mixture back to the saucepan and cook on medium heat till the eggnog thickens to your desired consistency, about 4-5 minutes. Keep stirring using a whisk or a rubber spatula, as it heats to keep it from sticking to the bottom.

Turn off the heat and add cream and vanilla extract. Whisk until well combined. Serve immediately or refrigerate for up to 3 days.