Warm up the milk. It should be warm but not hot, hot milk will “kill” yeast.
Pour half the milk to a cup, add 2 tbsp of sugar and the yeast, stir it and leave till it rises.
Melt the butter.
Beat the egg yolks with the rest of sugar till creamy.
Put the flour and salt to a big bowl, add the milk and beaten egg yolks and knead for a minute until more or less combined; add the yeast mixture and knead for 1-2 minutes and finally add the melted butter. Knead the dough until it is smooth (however small lumps are fine) and it doesn’t stick to your hand anymore. It should take about 5-7 minutes.
Leave the bowl with the dough in a warm place until it doubles in size. Depending on the temperature, it can take between 1 and 2 hours.
Prepare the cheese filling by mixing with an electric mixer the cheese, egg yolk, sugar and vanilla extract.
Cover a bottom of a big baking tray with baking paper.
Transfer the dough onto a kitchen surface dusted lightly with flour; spread it into a shape of rectangle roughly 25x35cm. The best way to do it is with your hands but make sure you cover your hands with oil at first to prevent the dough from sticking to them.
Spread the cheese feeling on top of the dough, roll it (along the shorter side) and cut it into approx. 12 slices. Arrange them on the baking tray and leave the buns to rise (approx. 10-15 min.)
Preheat an oven to 180 Celsius degrees (fan oven).
When the rolls have risen, place the tray in the hot oven and bake for 25-30 min.
Mix the icing sugar with water and swirl the icing on top of the baked rolls.