I agree with Deacon, a little vanilla extract goes a long ways. Also, I would consider adding everything to secondary. Vanilla oils can have a negative effect on fermentation from my experience. If you do not plan to use a secondary, I would wait until the fermentation is almost complete.
I typically make my own vanilla extract using bourbon and Madagascar beans. I make it relatively weak. The reason I do this is because I can then take the vanilla extract in larger quanitities (it is important to have enough liquid to completely submerge all the spices) and add other spices to the weak extract. The Bourbon will extract the other spice flavors making a beautiful blend with the vanilla that can then be mixed into beer.