1. Heat oven to 350 degrees F.
2. Heat cream and sugar in pan just to boiling, stirring to dissolve sugar.
3. Whisk yolks and vanilla in bowl. Gradually whisk in 1/2 cup hot cream. Gradually whisk in remaining cream, whisking gently to avoid bubbles.
4. Pour custard through small-meshed strainer into six 4- or 5-ounce custard cups. Sprinkle with nutmeg. Place cups in baking pan. Pour enough water into pan to come halfway up sides of custard cups.
5. Bake in 350 degree oven until centers of custard are nearly set, 30 to 33 minutes. Remove cups to rack to cool 15 minutes. Serve warm and soft. Or refrigerate up to 8 hours. Makes 6 servings.