Mix flour, sugar, salt, and yeast in a large bowl. Add egg, melted butter, vanilla, and milk. Knead until smooth.
Transfer to an oiled bowl, cover, and let rise in a warm spot for about 1 hour, until doubled.
Wrap clean soda cans or wooden rolling pins in foil and lightly grease. Mix cinnamon and sugar in a small bowl.
Roll dough into a thin rectangle, then slice into ½ inch wide strips. Wrap strips around cans in a spiral, pressing lightly so they stick. Oil the wrapped dough and roll in the cinnamon sugar coating then place upright on a parchment-lined tray.
Bake at 325°F for 20 minutes, until golden. Cool slightly, twist off the cans, and enjoy plain, dipped in chocolate, or filled with ice cream or whipped cream.