In saucepan combine flour, sugar, dry mustard, salt, and cayenne; stir in milk.
Cook and stir till thick and bubbly.
Gradually stir hot mixture into egg yolks.
Return mixture to saucepan; cook and stir 2 minutes more.
Place a piece of waxed paper over surface; cool 10 to 15 minutes.
Remove waxed paper; stir in vinegar.
Transfer to storage container; cover and chill.