Add a third of the milk to the active dry yeast to hydrate it.
In a mixing bowl add the flour, sugar, vanilla, salt, beaten egg, the rest of the milk, and the yeast.
Mix everything briefly using the hook attachment if using a machine. You can also knead with your hands.
Add the soft butter and knead the dough until a nice soft dough ball forms.
Cover and allow it to rest for 10 minutes.
Separate the dough into two smaller balls. Roll each half and separate into 4 small squares. Use the trimmings to roll into more squares.
Use a knife to cut the third of each square into stripes.
Add the filling of choice. Roll and seal the filling so that it does not spill when frying.
Cover the rolls with a kitchen towel and allow them to rise for 45 minutes to 1 hour.
Heat enough oil in the pan and fry them on medium heat.
Alloy the fried donuts to slightly cool before dredging them on sugar.
Enjoy.