There are several types of vanilla beans on the market, as well. You don’t need to buy incredibly expensive vanilla to get great flavor. There are a few things to watch for, however:

Make sure your vanilla was “water killed”, not “sun killed”. Vanilla pods have to be killed to stop their growth, and this is done one of two ways: Water-killed (bourbon) vanilla, named for the French Bourbon Islands (now Madagascar), is softer and cuts cleanly. This is what you should prefer. Mexican vanilla is commonly “sun killed”, which involved drying on hot slabs of pavement in the sun. The result of this method is a woodier vanilla bean, which is harder to cut.

Grade A Vanilla does not necessarily make better beer than Grade B Vanilla. Grade A Vanilla simply has more moisture, which does not affect overall flavor. For the most bang for your buck, get some good grade-B Bourbon-killed vanilla. With Grade A Vanilla, you pay quite a lot for appearance, which does not matter for making beer.

Looks for very slight cracks at the end of the vanilla beans. This indicates that the vanilla was fully ripened when it was harvested. Vanilla beans with this telltale sign tend to have the most intense flavor.

Once the primary fermentation of your beer is complete, sanitize your secondary fermentation vessel.

Slice the vanilla beans lengthwise and open them up.

Scrape the tar-like interior of the vanilla bean out of the husk and put it and the husk into the bottom of the secondary fermenter.
Rack the beer on top of the vanilla beans before placing the lid and airlock on the secondary fermenter.

Wait 2-4 weeks for the vanilla to extract into the beer. Sampling periodically is fun, but not strictly necessary, as it will be difficult to get too much vanilla in the beer. (This is my opinion, but it might just be because I love vanilla).