Heat the milk over low heat to 105 - 110 degrees. Pour into a small bowl or measuring cup and whisk in the yeast. Let stand for a couple minutes until it begins to activate and froth.
Pour in the milk/yeast mixture and vanilla and beat until just combined. Switch to the dough hook and knead the mixture for 3-4 mins. Mixture will be smooth, but still quite tacky.
Rub a little vegetable oil in a large bowl and turn the dough into the bowl, turning once to coat.
Cover tightly with plastic wrap and place in the refrigerator to chill at least 4 hours or overnight.