Cut the lemons width wise.
Scoop out the flesh carefully without tearing the peels.
Place the lemon flesh in a sieve to extract juice from it. Reserve it. Some of the juice is going to be used in the recipe.
Add heavy cream, sugar and lemon zest in a saucepan.
Put the pan on low heat and stir quite often.
When you see the liquid bubbling, let it simmer for 3 minutes on very low heat.
Take the saucepan off the heat and let it cool down a bit for 2-3 minutes.
Start adding lemon juice but a tablespoon at a time. Add one, stir, then second, stir, then third and one last stir.
Add vanilla essence and mix.
Pour this warm liquid in lemon shells. You can set it in ramekin bowls or some beautiful small cups directly.
Let the cream come to room temperature.
Place in refrigerator (not freezer) and let it set for 3 to 4 hours or overnight.
Decorate the way you like and enjoy.