Add the flour into a large bowl, and add the sugar and yeast. Mix these together so its all evenly distributed.
Add the cold and cubed butter, and rub the butter into the mixture so it resembles bread crumbs.
Gently heat the milk until warm - but not piping hot.
Add the milk, vanilla, almond extract and egg to the dry ingredients.
Knead the dough together for 7-10 minutes. It will be sticky at first, but it will soon come together.
Transfer into a lightly oiled bowl, and cover the top of the bowl with cling film. Let it rise for 1-2 hours, or until doubled in size.
Whilst the bread is proving, whisk together the dark brown sugar, and ground almonds for the filling. Leave to the side for now.
Once the dough has risen, transfer to a lightly floured work surface, and roll out to a large rectangle. Mine ends up being about 50cmx30cm.
You want it to be as even a rectangle as possible so its easier to roll up, and the dough can be thin here.
Gently brush the surface with the melted butter that has been mixed with the almond extract, and then sprinkle over the sugar/almond mix.
Dollop on the cherry conserve/jam
Roll the dough up tightly. Cut this evenly into 12 pieces. I cut the middle, and then the two halves into two more, and then each into three pieces to get my 12.
Using a large rectangular baking dish, mine was 30cmx24cm roughly, put them in.
Cover the dish with clingfilm, and let them rise for another hour or so. By the end, they should all touch.
Towards the end of the dough rising, preheat the oven to 180ºc/160ºc fan so that when it's finished rising, you can put it straight in the oven.
Bake in the oven for 20-25 minutes, until golden brown and cooked through.
Towards the end of baking, mix the soft cheese in a bowl until smooth. Add the milk, almond extract and icing sugar and mix
Drizzle over the baked rolls, and then sprinkle on toasted almonds for decoration.
Notes
Second filling option - Mix 100g melted butter, 100g light brown soft sugar, 200g ground almonds, 1 egg and 2 tsp almond extract together to a paste and spread on. Then top with the jam
These are best on the day of baking as they stay soft and fluffy, but can be kept for a couple of days (and refreshed in the microwave)
These can be prepped up until baking the night before and place into the fridge overnight. Bring back to room temp for 45-60 minutes, and then bake in the morning