In a large bowl, combine flour, salt, dry yeast, sugar .then add oil to the mixer. Add an egg and mix it. Then add warm milk and start kneading using your hands .Cover bowl with plastic wrap; let stand in a warm place for 1 hour or until dough has doubled in size.
Take the dough and knead the dough for 5 mins. Divide them into ball size (12 balls).
Make the cones using a thick paper material. Close them with pin. (See picture)
Then cover them well with aluminum foil, so that no paper shows. Brush some oil over the cones.
Take each ball and roll it. Cut into long strips (See picture).
Roll each dough ropes around the cones.
Place them into greased baking tray .Brush the egg yolk on top. Let it prove for another 10 min.
Bake them in a pre-heated oven at 190C for 15 min.
Let them cool completely.
Beat or whisk butter and sugar until it very creamy, then add thick cream and vanilla.mix until it becomes heavy and thick.