Measure out all of the ingredients for the pudding prior to starting. Place the egg yolks in a separate bowl. In a medium-size saucepan, combine sugar, vanilla cake mix, cornstarch, salt, heavy whipping cream and vanilla extract. Heat the mixture on the stove top over medium-low heat, whisking constantly to dissolve the dry ingredients in the mixture. Once the mixture is warm (but not boiling), pour about 1⁄4 cup (59 ml) into the bowl with the egg yolks and whisk vigorously to temper the egg yolks. Immediately pour the egg yolks into the saucepan and continue whisking over medium-low heat to prevent the eggs from cooking. Whisk until the pudding starts to thicken. It will happen very quickly.