In a bowl whisk together your egg yolks and sugar, place the bowl over a saucepan with boiling water (on low heat). Make sure that your bowl is not touching the water.
Continually whisk the egg yolks and sugar for 8-10 minutes until the egg mixture reaches 160 degrees F. Remove from the heat and allow it to cool slightly.
In a separate bowl, using an electric mixer whip the mascarpone with vanilla until creamy and well combined. Beat in your warm egg yolk mixture and set aside.
Spread half of your mascarpone cream over the first layer of the Oreos, followed by another layer of dipped Oreos, and finally top with the remaining mascarpone cream.