Prepare the Dough. In a large mixing bowl, combine warm milk, sugar, and yeast. Let it sit for about 5 minutes until the yeast activates and becomes frothy. Add melted butter, egg, vanilla extract, salt, and flour. Mix until a soft dough forms.
Knead the Dough. Transfer the dough to a lightly floured surface and knead it for about 5-7 minutes until it becomes smooth and elastic.
Let the Dough Rise. Place the dough in a greased bowl, cover it with a clean kitchen towel, and let it rise in a warm place for about 1-1.5 hours or until doubled in size.
Shape the Kolaches. Once the dough has risen, punch it down, and divide it into equal-sized portions. Roll each portion into a ball and flatten it into a disc. Place the discs on a parchment-lined baking sheet, leaving some space between them.
Add the Fillings. Make an indentation in the center of each dough disc using your thumb or the back of a spoon. Fill each indentation with your choice of filling, such as fruit preserves, poppy seeds, sweet cheese, sausage, cheese, jalapeños, or any other fillings you prefer.
Let Them Rise Again. Cover the filled Kolaches with a clean kitchen towel and let them rise for another 20-30 minutes.
Bake. Preheat your oven to 350°F. Once the Kolaches have risen, bake them in the preheated oven for 15-20 minutes or until golden brown.
Cool and Enjoy. Allow the Kolaches to cool slightly before serving. Enjoy them warm as a delightful breakfast or snack!