It's a fairly simple project that involves bottles, vodka, and vanilla beans. There are many tutorials online, but I followed something along these lines. I purchased the beans from Colonel De's at Findlay Market, the bottles from Sur La Table, and the vodka from a local grocer (just make sure it is at least 40% alcohol).
One year later, and my own bottle is still going strong, topped off once or twice with fresh liquor and a new bean or two. I remove older pods and combine with sugar for other uses, but I don't strain the liquid because I love the specks of vanilla beans.