It doesn't matter which type of sugar you buy, I always use extra fine sugar because I think it looks better and more luxurious. I
purchased my vanilla beans on ebay, much cheaper, larger and fresher than store bought vanilla.
Good vanilla should be a bit sticky, have a great smell and should contain a lot of seeds.
This instructable describes how you start with your first batch of vanilla sugar. When you used all of your vanilla sugar or when you have used vanilla in a recipy, don't throw away the beans because you can reuse them. Just put them in your sugar jar and enjoy :)