Meanwhile, whisk egg yolks and sugar together in a medium sized mixing bowl. Once the milk and cream is steaming, spoon a ladel full of the hot mixture over the eggs and quickly whisk together. Repeat process once more.
Add a scoop of ice cream to a storage container, then top with a scoop of the remaining Oreo cookies. Continue this process until all the ice cream and Oreo cookies have been transferred to the storage container.