I used to do it all the time. I had a husband who drank top cognac so we always had it, so Id keep a glass jar of it with one starter slit (lengthwise) vanilla bean in it, and add some empty vanilla bean shells after using. You keep topping it up and you always have awesome vanilla extract.
Im probably the only idiot in the store who looks longingly at a bottle of VSOP and thinks, Ah, vanilla...
Cute story.