Step 1: Prepare the Dough

1. Activate the Yeast: In a small bowl, combine the warm milk and granulated sugar. Sprinkle the yeast on top and let it sit for about 5 minutes, or until it becomes foamy. This step helps ensure the dough rises properly.
2. Mix Wet Ingredients: Stir in the melted butter, vanilla extract, and eggs into the yeast mixture. Mix well to combine.
3. Combine Dry Ingredients: In a large mixing bowl, whisk together the flour, salt, and ground cinnamon. Gradually add the dry ingredients to the wet ingredients, stirring until the dough begins to form.
4. Knead the Dough: Transfer the dough to a floured surface and knead it for about 8-10 minutes, until it becomes smooth and elastic. If the dough is too sticky, sprinkle in a little more flour.
5. First Rise: Place the kneaded dough in a greased bowl, cover it with a damp cloth, and let it rise in a warm spot for about 1 hour, or until it has doubled in size.

Step 2: Prepare the Filling

1. Make the Cinnamon Filling: In a small bowl, combine the brown sugar and cinnamon. Stir in the melted butter until you have a thick, spreadable mixture.
2. Optional Nuts: If using, stir in the chopped pecans for added texture and flavor.

Step 3: Shape the King Cake

1. Roll Out the Dough: After the dough has risen, punch it down to release air. Then, turn it out onto a floured surface and roll it into a large rectangle, about 12×18 inches.
2. Spread the Filling: Brush the rolled dough with the melted butter, then evenly spread the cinnamon-sugar mixture over the surface of the dough. Be sure to leave a small border along the edges.
3. Form the Ring: Carefully roll the dough from one long edge to the other, forming a tight log. Once rolled, shape it into a ring, pinching the ends together to seal the shape.
4. Second Rise: Place the formed dough ring on a greased baking sheet. Cover with a cloth and let it rise for about 30 minutes, allowing the dough to puff up.

Step 4: Bake the King Cake

1. Preheat the Oven: While the dough is rising, preheat your oven to 350°F (175°C).
2. Bake: Bake the cake for 20-25 minutes, or until it turns golden brown. You’ll know it’s done when the top is firm to the touch and the cake sounds hollow when tapped on the bottom.
3. Cool: Let the cake cool on a wire rack before decorating. It’s important to wait for the cake to cool completely before applying the icing.

Step 5: Decorate the King Cake

1. Make the Icing: In a small bowl, whisk together the powdered sugar and milk until you have a smooth, pourable glaze.
2. Drizzle the Icing: Drizzle the glaze over the cooled King Cake, letting it drip down the sides.
3. Add the Colored Sugar: Sprinkle the purple, green, and gold sanding sugars in alternating sections to create the iconic Mardi Gras colors.
4. Add the Baby: If using, insert the plastic baby into the bottom of the cake, ensuring it is hidden from sight. This is a fun tradition in King Cake baking, where the person who finds the baby in their slice is said to have good luck for the year ahead.