I've been making my own vanilla for about a year now, and it's definitely the way to go. Costco occasionally sells vanilla beans SUPER cheap (about 9 beans for $12!) so I stock up and go to town on yummy vanilla things. Here's what I do:
1. Cut up a bunch of beans and shove them in a small jar.
2. Fill with vodka and wait.
3. Because I have so many beans, I shove others in a big bottle of vodka to kind of 'prep'. I even put used beans in here after I've made something, because the pods still have so much flavor and fragrance.
4. I use the 'prep' vodka that has some of the beans in it to top off my little "every day use" vanilla bottle.
Everything I've read suggests that the cheaper vodka, the better. (Great news for all of us cheaper bakers! )
I would definitely not strain the bottles though! The little flakes are beans and part of the pods and they make desserts SO flavorful! When I'm making something like creme brulee or ice cream, I want as many vanilla flecks as possible, so shake it up really hard before I pour. And it's what makes it "homemade", I think.
My other absolute favorite use for beans is making vanilla sugar. I use spent pods and just keep them in our coffee sugar container. My hubby thinks that vanilla sugar in his coffee is the best thing ever. Last year I gave vanilla sugar (with the beans still in) to all my coffee drinking friends for Christmas. The best part is, just keep topping off the containers with sugar and the beans will keep giving off fragrance/flavor! I've had some beans in the sugar for a year now!