1. Make dough by warming the milk for 10 to 15 seconds in the microwave, so that it's warm but not hot.
2. Add the milk to a small mixing bowl with sugar and the yeast sprinkled on top, whisking together until well combined.
3. In another mixing bowl, combine oil, egg, and vanilla well.
4. Add the milk mixture to oil mixture stirring well until fully combined.
5. Then add flour, cinnamon, nutmeg, and salt to the mixing bowl, combining with a wooden spoon, hands, or a stand mixer until dough forms.
6. Once you have an elastic smooth dough, form it into a ball, place it in a lightly greased bowl, cover it with a kitchen towel, and let it rise for 30 to 45 minutes.
7. While the dough rises, make the filling by combining the butter, sugar, and cinnamon.
8. Once the dough has risen, transfer it to a floured surface and roll it out until you have a big rectangle, approximately 14×8-inch.
9. Spread the butter mixture onto the dough, then roll it into a log, and cut it into 12 sections.
10. Place the 12 sections on a parchment paper lined baking sheet, cover with the kitchen towel, and let rest for 30 minutes, while the oven preheats to 350ᵒF.
11. Once the oven is hot and the sections have rested, place them in the oven and let them bake for 30 minutes.
12. While they bake, make the icing by combining the milk, sugar, and vanilla together in a bowl.
13. Once the rolls are baked, remove from the oven, pour half the icing overtop them, and let rest for 10 minutes.
14. Once the rolls are cooled, top the second half of the icing, serve, and enjoy!
