Mix warm milk, sugar, and yeast in a small bowl and let it hang out for 10 minutes until it gets foamy.
In a stand mixer, combine flour, egg, salt, and the yeast mix. Knead until smooth, then let it chill for 30 minutes.
Roll out the dough into a rectangle, plop the cold butter in the middle, and fold it like a letter. Roll, fold, chill — repeat 3 times. (Yep, it’s a workout.)
Roll to ½-inch thick, cut into rings, and let them puff up for about an hour.
Heat oil to 350°F (175°C) and fry each side for 2–3 minutes until golden and irresistible.