Remove phyllo dough package from freezer and place in the fridge for 24 hours to thaw. Remove from fridge 1 hour before using.
When working with the phyllo dough, only remove the sheets you immediately need, keeping the other sheets covered in plastic wrap, then a damp cloth.
Toss together the chopped walnuts and cinnamon. Set aside.
Preheat oven to 350 degrees. Thoroughly butter a rectangular baking pan. Try to find a pan close to the size of the phyllo sheets.
Butter each sheet of phyllo with melted butter and press lightly into the pan. Repeat this until you have 8-10 sheets in the pan.
Sprinkle on enough walnuts to make a single layer. Butter two sheets of phyllo and place them on top of the walnuts. Add more walnuts, then two more buttered phyllo sheets. Repeat this a couple more times, or until you're out of walnuts. Top with the rest of the phyllo sheets buttering all. Cut the uncooked baklava into pieces.
Bake for 45 minutes, or until the baklava is very golden brown.
While the baklava is baking, combine honey, water, sugar, and vanilla in a saucepan. Bring to a boil, then reduce the heat to low.
When you remove the baklava from the oven, drizzle the saucepan evenly over the top. Allow it to sit and absorb for a minute, then drizzle on a little more until you think it's thoroughly moistened. It will absorb a lot - be patient.
Allow the baklava to cool, uncovered, for several hours.