A Little Bit of Heaven on a Roll

One night I sat flipping through an old magazine. I came across a recipe for something called "Cream Cheese Coils." The photo looks so appetizing, I had to try my hand at making them myself!
Family Night came around and I was able to test my new found recipe. When asked if he had tried one yet, my friend's fiancé replied:
"You mean that little bit of Heaven on a roll?"
There the name stuck.

Cream Cheese Coils/Heaven on a Roll

3-3/4 - 4 1/4 c. flour
3/4 c. sugar, divided
4 1/2 tsp. yeast
1 1/2 tsp. salt
3/4 c. milk
1/2 c. water
1/2 c. butter, cubed
1 egg
1 package (8 oz.) cream cheese, softened
1 egg yolk
1/2 tsp. vanilla extract

GLAZE:
1 c. powdered sugar
1/2 tsp. vanilla extract
3-4 T. water

In a large mixing bowl, combine 1 c. flour, 1/2 c. sugar, yeast, and salt. In a saucepan, heat milk, water, and butter until butter is melted and milk becomes foaming and bubbly on top. Add to dry ingredients; beat on medium speed for about two minutes. Add egg and 1/2 c. flour; beat on high for two minutes. Stir in enough remaining flour until a stiff dough forms. Cover and refrigerate for 2 hours.
Turn dough onto lightly floured surface. (I found the less flour the easier the dough is to work with. I even wet it some with water to help roll it out.) Take a small amount of dough and roll into about 12-15 in. long rope. Holding one end of the rope, loosely wrap dough around, forming  a coil. (This batch makes about 18 coils). 
Place coils 2 inches apart on a cookie sheet. Cover and let rise until double, about one hour.
In a small mixing bowl, combine the cream cheese, egg yolk, vanilla, and remaining sugar, beat until smooth. Using the back of a spoon, make a 1 in. wide indention in the center of the coil; spoon one tablespoon of the cream cheese mixture into the indentation.
Bake at 400* for 8-10 minutes or until lightly browned. Remove from pans to wire racks to cool.
GLAZE:
In a small bowl combine powdered sugar, vanilla, and enough water to achieve drizzling consistency. Drizzle over cooled rolls. Store in refrigerator.