In a small saucepan, combine the sugar, cornstarch and salt. Gradually stir in milk. Cook and stir over medium heat until thickened and bubbly. Reduce heat; cook and stir 2 minutes longer. Remove from the heat.
Stir a small amount of hot filling into egg yolk; return all to the pan, stirring constantly. Bring to a gentle boil; cook and stir 1 minute longer. Remove from the heat. Gently stir in butter and vanilla.
Cool for 15 minutes, stirring occasionally. Transfer to dessert dishes. Cover and refrigerate for 1 hour.