In the large mixing bowl, beat together the vanilla pudding mix, sugar, vanilla, milk and egg yolks.
In another small bowl beat the egg whites until stiff peaks form.
Gently fold in the stiffly beaten egg whites, with the rest of the mixture.
Add the nut meg and mix one last time. Or you can add the nutmeg to each individual glass.
Then chill. This is best if it sits in the fridge overnight.