In a medium saucepan, heat the milk and heavy cream over medium heat until it begins to steam.
In a mixing bowl, whisk together the sugar and egg yolks until pale and fluffy.
Slowly pour the hot milk mixture into the egg mixture while whisking continuously.
Pour the mixture back into the saucepan and cook over low heat, stirring constantly, until it thickens and coats the back of a spoon (about 8-10 minutes).
Remove the custard from the heat and stir in the vanilla extract.
Strain the custard through a fine mesh strainer to remove any lumps.
Stir in the chopped nuts and pour the custard into individual serving dishes.
Chill the custard in the refrigerator for at least 2 hours before serving.