Combine together the flour, sugar, salt, yeast and butter in a large bowl. Add the vanilla and egg and knead into smooth elastic dough using enough of the warm milk. Transfer the dough into a lightly greased bowl and cover with a clean tea towel. Leave to rise for an hour until double in size. Roll out the dough on a floured surface and cut into desired shapes and sizes and place on a floured tray. Cover again and allow to rise again till double in size. Heat the vegetable oil in a deep pan and deep fry the doughnuts in hot oil, turning from time to time until nice and golden brown. Roll onto the caster sugar while still hot and fill with the desired fillings.