Prepare the dough

• In a small bowl, combine the warm milk and yeast. Let it sit until frothy, about five to ten minutes.
• In a large mixing bowl, whisk together the flour, sugar, salt, and nutmeg if using.
• Make a well in the center and add the yeast mixture, melted butter, egg yolks, and vanilla extract. Mix until a soft dough forms.

Knead the dough

• Transfer the dough to a floured surface and knead until smooth and elastic, about five to seven minutes.
• Place the dough in a greased bowl, cover it with a kitchen towel, and let it rise in a warm place until doubled in size, about one to two hours.

Shape the paczki

• Once the dough has risen, punch it down and roll it out to about half an inch thick.
• Use a round cutter about three inches in diameter to cut out circles.
• Place a spoonful of cheese filling or preserves in the center of each circle. Fold the dough over and pinch the edges tightly to seal.

Fry the paczki

• Heat oil in a deep pot to 350°F or 175°C.
• Carefully place a few paczki at a time into the hot oil. Fry until golden brown on both sides, about three to four minutes.
• Remove with a slotted spoon and drain on paper towels.

Dust and serve

Once slightly cooled, dust with powdered sugar. Enjoy fresh for the best flavor.