Prepare a small baking tray (I used a 9" by 6" tray) with parchment paper.
In a small bowl, combine together warm milk, yeast and sugar. Give it a stir and let the yeast activate and become bubbly.
Next, in a stand mixer bowl fitted with a dough hook attachment (or in a large bowl), add in the flour, egg, oil, sea salt and vanilla extract.
Add the bubbly yeast mixture to the flour and knead (with your hands or with the mixer) until the dough becomes smooth and shiny.
If the dough appears dry, add in 1 teaspoon of water, until the dough comes together.
Once the dough is smooth, transfer to a lightly greased bowl and cover with a damp cloth or plastic wrap. Let it rest in a warm location, until doubled in size.
When the dough has doubled, transfer to a work surface, lightly dusted with flour.
Use a rolling pin to roll out the dough into a rectangle, about 12" by 9" in size.
In a small bowl, combine together brown sugar and ground cinnamon. Give it a stir to incorporate evenly.
Brush melted butter over the surface of the dough.
Sprinkle the cinnamon-brown sugar mixture over the butter.
Starting from the long edge, roll up the dough tightly into a log.
Cut the log into 6 equal pieces.
Place the cut-side facing up onto a baking tray lined with parchment paper.
Cover with plastic wrap and leave in a warm location until puffy, about 20-30 minutes, depending on how warm it is.
Preheat oven to 350°F/177°C.
Bake the cinnamon rolls at 350°F/177°C for 18-22 minutes, until lightly golden on the surface.
Transfer to a wire rack to cool before frosting.