Combine first 3 ingredients in top of a double boiler. Gradually add milk and yolk; stir well. Place over simmering water; cook 4 minutes or until smooth and thickened, stirring constantly. Remove from heat; stir in banana and vanilla.
Divide mixture evenly between 2 (6-ounce) custard cups. Arrange 4 cookies around edge of each cup, pushing cookies into pudding. Cover with plastic wrap; chill at least 2 hours. Yield: 2 servings.
