In a bowl, mix the warm milk, sugar, vanilla extract, and yeast. Let it sit for a few minutes until foamy. Then whisk in the egg. Using fresh yeast instead? Mix it with the warm milk first until it goes foamy, then add the rest of the ingredients.
Add the flour and salt and mix until a rough, slightly sticky dough comes together. Don't worry if it looks a bit messy at this stage, it always does at first.
Start kneading in the softened butter, a little at a time. Keep going until the dough turns smooth, stretchy, and elastic — about 10-15 minutes by hand, or 6-8 minutes with a mixer and dough hook. It should feel soft and slightly tacky, but not sticky on your fingers.
Place the dough into a greased bowl, cover, and leave it somewhere warm to rise for about an hour, or until doubled in size. I usually pop mine in the oven (switched off, of course) next to a bowl of hot water, the steam speeds things up nicely. Just cover it loosely while it proofs
Punch the dough down gently to release the air, then divide it into equal pieces (about 70g each) and roll each into a smooth ball.
Roll each ball out into a rectangle. Spread 1-2 tablespoons of Nutella over the top, leaving a small border around the edges, then fold the rectangle over to enclose the filling.
Slice the bottom half of the folded dough into a few strips, leaving the top intact. Carefully wrap and twist the strips up and over the top, this is what gives you that lovely braided look.
Place the shaped buns on a lined baking tray, cover loosely, and let them rise again for 30-45 minutes, until puffy and roughly doubled in size.
Brush the tops with egg wash (a beaten egg works perfectly), then bake at 180°C (350°F) for 18-20 minutes, until deeply golden on top
As soon as they come out of the oven, brush generously with melted butter. Let them cool just slightly, then enjoy warm. This is honestly the best part.
Video Tutorial: