Measure out all of the ingredients for the pudding prior to starting. Place the egg yolks in a separate bowl. (You will temper them with the pudding later)
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 ¼ 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.
Strain the pudding through a fine sieve into a medium-size bowl. This step is optional, but it will help catch any lumps of ingredients that did not get blended. Immediately cover the top of the pudding with clear plastic wrap (directly on the surface of the pudding) and poke a few holes with a toothpick.
Allow to cool on the counter for at least 1 hour before refrigerating. Refrigerate for 2 to 3 hours until the pudding has cooled and is firm.