Microwave cold milk, or heat on the stove, until it is lukewarm, around 105-110 degrees. Bloom your yeast by mixing the active dry yeast, teaspoon of sugar, and lukewarm milk together. Let it sit for 10 minutes or until foamy on top.
In a stand mixer, mix flour, salt and sugar together. Add whisked egg, butter and vanilla and mix. Add milk and yeast mixture and mix until everything is blended. Switch to a dough hook and knead for about 5 minutes on medium speed. The dough is done when it has pulled away from the sides of the bowl. It will be smooth and a little sticky.
Form the dough into a ball and place in a large, greased bowl. (Works best with floured hands). Cover with plastic wrap and place in a warm place to rise for about one and a half to two hours, or until the dough doubles in size. A cold oven with the light on works well for this. I put mine outside and that worked too.
Make the filling while the dough proofs.
Once the dough has had a chance to rise, remove from bowl, press down on the dough to release the air, and roll out on a floured surface. Roll the dough into a large rectangle, about 16 inches long.
Next spread the filling evenly over the dough. Roll up the dough into a long log shape. Cut the buns. You should be able to get 6 large rolls or 8 smaller rolls out of it.
Place the rolls in a casserole or pie dish. Cover them loosely with plastic wrap and let them proof in a warm place for about an hour, or until they have doubled in size.
15 minutes before the rolls are done proofing preheat the oven to 350 degrees.
Once the rolls have proofed, pour the heavy cream over them. Bake for 25-30 minutes or until golden brown. Let them cool for a few minutes and then frost.
The rolls will stay fresh for two days in an air tight container.