Pour the oil into a small saucepan. Using a small sharp knife cut the vanilla bean and then split the halves lengthwise. Open each half and scrape the seeds from top to bottom into the oil. Set the sauce pan over medium low heat and heat for 4 to 5 minutes. Remove from heat and let it cool. Pour the oil into a clean glass jar with a tight fitting lid; cover and place in the refrigerator. Store in the refrigerator for up to 6 months.