In a large mixing bowl, dissolve the instant yeast in warm water. Add the warm milk, softened butter, and granulated sugar. Once mixed, toss in the egg and vanilla extract. Stir well until combined, then sprinkle in the sea salt. Gradually add the flour, mixing until a sticky dough forms.

Turn the dough out onto a floured surface. Knead gently for about 5 minutes until it's smooth and elastic. If the dough feels too sticky, sprinkle a little more flour as needed. It should be somewhat tacky but not overly sticky.

Once kneaded, flatten the dough into a rectangle about 1/4-inch thickness using a rolling pin. This doesn’t have to be perfect. Aim for a successful rectangle that will showcase that lovely filling.

Spread the room-temperature butter over the rolled dough. Mix together the brown sugar, cinnamon, and nutmeg in a small bowl. Sprinkle this heavenly mixture evenly over the buttered dough, leaving a small border around the edges.

Starting from one edge, carefully roll the dough tightly into a log. Slice the log into 1-inch rolls. You should get about 12 rolls, which will bake up beautifully; make sure to place them cut-side up in a greased baking dish.

Cover the dish with a clean kitchen towel and let the rolls rise for about 10 minutes in a warm place. This will give them a little lift just before baking.

Preheat your oven to 375°F (190°C). Drizzle the heavy cream evenly over the rolls. This prevents them from drying out and gives a rich taste. Pop them in the oven and bake for 18-20 minutes, or until the tops are golden brown.

While the rolls are baking, mix the softened cream cheese, milk, confectioners’ sugar, and vanilla in a bowl. Whisk until smooth and creamy. Adjust the milk for the desired consistency.

Once your rolls are golden and ready, take them out and let them cool for about 10 minutes. Drizzle that delightful glaze over the top, and get ready to indulge.