Add warm milk (110°F.) to mixer bowl, sprinkle yeast on top and gently stir.
In the meantime, combine the flour, sugar, cinnamon and salt together and stir. Add dry ingredients, butter, egg and vanilla to the bowl with the milk and mix in electric mixer for a couple of minutes or until the dough starts to pull away from the walls of the bowl.
On a lightly floured surface using floured hands, knead the dough for 3 minutes.
Rub 2 teaspoons of oil all over the inside of a bowl and place dough inside; cover loosely, and allow it to rise until doubled in volume (about 1½ – 3 hours), in a warm place.
In a small bowl mix together both sugars and cinnamon and set aside.
Once the dough is risen, deflate, then place on a well-floured surface, roll out into a long rectangle, brush with the butter, sprinkle evenly with the cinnamon sugar, then start rolling into a tight long cigar.
Cut the dough into even pieces about an inch and a half long with dental floss or a sharp knife. Place them in a large buttered baking pan, cover with some plastic wrap, allow to rest at room temperature for 20 minutes, then place them in the fridge overnight.
Pre-heat oven to 350º Fahrenheit.
Bake for 20-25 minutes until beautiful golden, meanwhile make the glaze.
In a small bowl, combine the cream cheese and butter until creamy, add the vanilla and powder sugar, whisk for a minute until thick and well combined, then slowly add 1 tablespoon of milk while whisking until you get your desired constancy (add the second tablespoon if needed). Pour in lemon juice and combine. Spread over warm rolls. Enjoy!