I never had steel cut oats until about a year ago. I was watching one of the food shows and they were talking about how different they were from the old fashioned rolled oats. Being a "rebel" that will try almost anything, I bought a can of McCann's Irish Steel Cut Oats and haven't used a packet of instant or a box of rolled oats since that day.
In a heavy medium saucepan, melt the butter over medium high heat and add the oats, stirring constantly to toast the oats before cooking. This will take a few minutes of stirring and when you notice a toasty, nutty aroma and a slightly browned color, they are ready to add the liquids.
Pour in the liquid(s), add salt and stir until the oats get smooth and thickened slightly. Turn the heat down to very low (just barely blurping)and cover. Cook on very low, stirring about every 5 minutes for 20 to 30 minutes. (To test for doneness, taste a few grains. They should be tender, but still have some "tooth" and texture.)
When the oats are done to your liking, stir in the vanilla extract and serve.
Use your favorite sweetener and a splash of your choice of dairy product. Stir and enjoy.