The Foxes may have been expecting to get outdone by Jose Mourinho's high flying team away from home.
But they dug in defensively and took their chances on the counter, winning 2-0 on Sunday to go second in the league.
"We came here with a plan and we absolutely nailed it," said Vardy, who scored the opener from the penalty spot, post-game.
"We wanted to get about them, didn't want to give them too much time.
"We felt we could let them come up to the first third and then when they came to the half-way line we could put the press on, find space and create chances."