In a medium bowl, fold together the yogurt, lime, and vanilla extract. Set aside or cover and refrigerate for up to a day.
To assemble:
In a blender, combine the watermelon, sugar, and lime juice.
Blend until smooth, then taste and adjust lime juice and sugar as needed.
Add the ice and pulse until blended.
Pour about 1/4 cup (60 milliliters) of the watermelon mixture into each glass. Top with large spoonfuls of the yogurt, making sure some of it touches the edge of the glass. Alternate with more watermelon and yogurt to layer.
Top with an additional small sprinkle of lime zest if desired. Garnish with watermelon wedges, lime slices, and/or mint sprigs.
Serve immediately, stirring together the layers before drinking.