I purchased my vanilla beans (Madagascar) from Olive Nation. I get no kickbacks from them for mentioning Olive Nationand the only only experience I have with buying vanilla beans happened at a grocery store. But Olive Nation was fast and fresh- best of all free shipping. The beans arrived vacuum sealed, a very cool thing. In the grocery store, they are generally in bottles, loose.
The first difference I noticed was the smell. The wonderful smell of vanilla hits you as soon as you open the pouch. The beans seem softer, more supple, so that seemed good, too.
I choose Bacardi rum to use to make the vanilla. I had it in the house already (rum cakes) and thought, hey, why not. I got 3 small jars, measured a cup of rum for each jar and placed the vanilla beans in it. I just did it maybe 30 minutes ago, so obviously I have no clue how it will turn out - for that I have to wait until close to the end of February. But it definitely is an intriguing kitchen task. I found the full instructions on this web site, http://www.noveleats.com/how-to/make-your-own-vanilla-extractHow to make vanilla extract
Again, no kickbacks from these folks. I will keep you posted on how it works. I'm thinking about buying some vodka to test that recipe out, but first I'll try the rum. Should be fun.