Short answer: Yes, that will work and will give you a delicious vanilla pudding. Long answer: I have made this recipe many times, sometimes by simply whisking all of the ingredients (except the butter and vanilla) together, then heating over medium-low heat until thickened and bubbly. However, whenever I do this, the pudding doesn't turn out quite as thick and luscious as it does when I heat the milk first, then add the tempered egg yolks and the cornstarch slurry. I still recommend the more "complicated" steps for the very best pudding. But the "simplified" version will still work in a pinch!