In a saucepan, heat milk until bubbles form on sides. Cool to lukewarm. In a small bowl, sprinkle yeast over warm water, mixing to dissolve. In a large mixing bowl, add warm milk, butter, sugar, egg, lemon rind, vanilla, salt and yeast. Slowly stir in 3 ½ cups of flour. Dust ½ cup flour on counter or board. Knead until smooth. If too sticky, add up to ½ cup more flour. Placed in greased bowl. Cover and let rise in a warm spot until double, about one hour. Meanwhile, make filling.