Heat a grill with a single layer of charcoal. When the coals are hot, brush the grill with a little oil to make sure the peaches don't stick. Place the peaches, cut side down, on the grill and cook for a few minutes, until they're slightly charred.
Place the peaches in an oven-proof dish, sprinkle each half with a little vanilla sugar. Combine the rum and amaretto and drizzle 1/2 of it on the peaches. Bake the peaches for about 10 minutes, until they're very tender. Serve hot, at room temperature, or cold with crumbled amaretti cookies on top or with the cookies on the side. I like to serve them with a dollop of creme fraiche or vanilla ice cream.
Find a jar tall enough to hold 2 vanilla beans. Fill the bottle with sugar and cover tightly. Store on a pantry shelf. After about 3 months you will have a wonderful ingredient for cooking and baking. Keep adding vanilla beans and sugar to the jar and you will have it for years.