Here is my guide on Compiling 3.4.x Vanilla Final — Ubuntu/Debian using the debian way

This article is about compiling a kernel on Ubuntu systems. It describes how to build a custom kernel using the latest unmodified kernel sources from www.kernel.org (vanilla kernel) so that you are independent from the kernels supplied by your distribution.
Install the Required packages for building it

sudo apt-get install git-core kernel-package fakeroot build-essential ncurses-dev

Then download latest kernel version

cd /usr/src
sudo wget --continue http://www.kernel.org/pub/linux/kernel/v3.0/linux-3.4.5.tar.bz2
sudo tar jxvf linux-3.4.5.tar.bz2
cd linux-3.4.5

$ sudo cp /boot/config-`uname -r` ./.config
$ sudo make menuconfig

Disable xen
Processor Type and Features -> Paravirtualized Guest Support -> Xen

support otherwise you will get this error

sudo make-kpkg clean
sudo fakeroot make-kpkg --initrd --append-to-version=-vanillaice kernel_image kernel_headers
cd ..
sudo dpkg -i linux-image-3.4.*
sudo shutdown -r now

you can install the headers too from /usr/src/linux-headers-3.4.*-*
in my case i can show you how the packages are named

ls *.deb
linux-image-3.4.*-vanillaice_4.4.*-vanillaice-10.00.Custom_amd64.deb
linux-headers-3.4.*-vanillaice_4.4.*-vanillaice-10.00.Custom_amd64.deb