Spray a medium bowl with non-stick spray and set aside.

In the bowl of a stand mixer fitted with the dough hook, mix together the flour and yeast for 10 seconds on low. Add the sugar, salt, warmed whole milk, eggs, dry milk powder, nutmeg, cinnamon, and vanilla and mix on low speed until incorporated about 5 minutes.

With the mixer running on low, gradually add the butter, a cube at a time, incorporating each cube completely before adding the next. Continue until you’ve added all the butter, scraping down the bowl periodically. Mix for 5 more minutes.

Scrape the dough onto a lightly floured surface and pat into a rectangular shape, using only enough flour so it doesn’t stick to the surface. Stretch and fold the left side of the dough to over ⅔ of the dough, and then stretch the right side and folder over the left (Like you would fold a letter). Repeat again, this time folding the top down and then the bottom up. Place in prepared bowl seam-side down. Cover with plastic wrap or a clean dishtowel and let sit at room temperature for an hour.

Turn the dough out onto a lightly floured surface and gently pat the dough down pressing large air bubbles to the edge to release. Repeat the stretching and folding process and then return the dough to the bowl, seam-side down, cover, and refrigerate overnight.

Line a baking sheet with parchment paper, spray with non-stick spray, lightly flour and set nearby. Turn the chilled dough out onto a lightly floured surface and roll it out to about 11-inches wide and about 1-inch thick. Working quickly using your doughnut cutter or round cookies cutters, cut rounds from the dough. Dust off excess flour and place onto prepared pan. Place the baking sheet full of donuts and donut holes in an oven that is turned OFF. Allow to proof for about an hour to an hour and a half. If you press into the dough and the imprint is still there, it's ready.

Fill a Dutch oven or heavy stockpot with 3 inches of peanut or canola oil. Fit with your candy thermometer and heat oil to 375°F/177°C. Prepare a baking sheet covered with paper towels for draining. Gently lower 2 to 4 doughnuts (depending on how large your pot is—the doughnuts should be able to float freely) into the oil and fry for 30 seconds, without moving them. Flip doughnuts over with a skewer or chopsticks and fry for 45 seconds. Flip back over once more and fry another 45 seconds, or until they are golden brown. Adjust the heat as needed throughout frying to maintain the temperature. Transfer the doughnuts to the prepared baking sheet with paper towels to drain. Instantly move the donut to the cinnamon sugar and toss together. Continue this process.

The doughnuts are best enjoyed the day they are fried. Especially, fresh out of the fryer and into the sugar. While warm, they are heavenly. They do last another day or two in a covered container but their texture will be much denser and some of the coating will be absorbed.