Let's hear it for dairy rugelach! There is nothing that can compare to the taste of butter and milk in recipes. So, celebrate this Shavous by preparing the real thing!

Cook milk until it feels warm, but not hot, to your touch. Remove from fire.
Add yeast and allow to activate.
Combine flour, salt, sugar, and vanilla in a separate bowl.
Make a well in the center and add the yeast mixture.
Mix for one minute and add butter and eggs.
Knead until you have a smooth dough.
Set aside to rise 45 Minutes to 60 Minutes.
Cream butter with vanilla and confectioners sugar. If you prefer a less sweet rugelah, you may use less sugar.
Roll out dough to 1/4" and spread filling.
Roll dough jelly-roll style.
Using a sharp non-serrated knife, cut 2" slices.
Lay slices side by side in a 9x13 pan. You need to leave much space between the slices.
Allow to rise 30 Minutes longer.
Bake at 350 degrees F for 30 Minutes.
Continue baking for an additional 10 Minutes to 15 Minutes until the buns are slightly browned.
Cool and pull buns apart to serve.

