In a large metal bowl, combine egg yolks and sesame oil; whisk just enough to blend.
In a 10- to 12-inch frying pan over medium heat, stir and shake sesame seeds until pale golden brown, about 3 minutes.
Pour into a blender with the sugar and whirl until seeds are coarsely ground. Return mixture to frying pan; add whipping cream and milk. Stir over medium-high heat until scalding (bubbles form at pan rim but mixture does not boil), about 5 minutes.
Whisk cream mixture into egg yolk mixture, then scrape back into frying pan. Stir over medium-low heat with a flexible (silicone or heat-resistant plastic) spatula, scraping pan bottom and sides, until custard is thick enough to coat a metal spoon with a velvety layer, about 15 minutes. Immediately pour mixture back into metal bowl and nest in ice or ice water; stir often until cool, about 15 minutes.
Pour custard through a fine strainer into another bowl, pressing moisture from seeds; discard seeds.
