I thought of answering this question in a brand new thread called "Hey Estel!" but then I thought maybe not
Check out
this post (with pictures!). But the gist of it is: choose your liqueur, get some vanilla pods, split them open, and scoop out the tiny seeds inside, put the seeds into the bottle with the liqueur, and put the pods in as well since they have some vanilla flavour as well.
Then - wait. It takes time for the vanilla flavour to seep into the liqueur. You won't have homemade extract tomorrow. I'd say give it at least two months. Put the bottle in a dark place and take it out and give it a good shake every couple of days to spread the flavour around.
See the last picture in the post, and look at the bottle at the far right - see how clear it is? That's the one I made with vodka. Now, a year and a half later, it's as dark as any high-quality vanilla extract you see in the shops.
If you want pure unadulterated vanilla flavour, go for the vodka. If you like a mix, you can try rum or brandy. I've tried all, and I like them all so I can't advise you there.
Don't forget to post some pictures of your vanilla creations!