1. Preheat the oven to 350F (175C).
2. Place four custard cups or ramekins in a deep baking dish or pan.
3. Blend together the goat cheese, sugar, milk (or cream), egg yolks, and vanilla for 30 seconds until very smooth.
4. Divide the mixture into the custard cups; each should be a bit more than half full.
5. Add warm tap water to the baking pan, to make a water bath for baking the custards. The water should reach to about halfway up the side of each custard cup.
6. Cover the pan with foil and bake for 15 to 20-minutes.
7. When done, remove the custards from the water bath and cool completely.