I think that a Vanilla Bean would be a good compliment to a Hefeweizen. The benefit of a vanilla bean (and most flavor additives) is that you can taste the beer once it is done, and determine whether the flavor works how it is, or if you want to add something.
If you choose to add a vanilla bean, I would recommend following Denny's plan that he uses for his Bourbon Vanilla Imperial Porter. Take 1 bean, scrape out the insides into the fermenter, and then add the bean itself. I am pretty sure Denny does this in primary, but I am sure he will clarify it for me. I would let it go about a week. At day 5 or so, I would start pulling a sample and tasting until the beer tastes where you think it should. Then go ahead and bottle.
You have inspired me for next year to try to do an Oatmeal stout with Weizen yeast, and then add Cinammon and Vanilla (and probably some burbon) for a holiday beer. Liquid Christmas cookies.