Stir the warm milk and oatmeal together and let it sit for about 15 min. Stir in the yeast till dissolved and let this sit for another 15 min. Beat the egg while a bit first to break it up and stir it in, too. Also add the sugar and salt. Beat this very well for about 5 min. Now start to add unbleached white flour (I use 'bread' flour, but it isn't strickly neccessary). Beat in as much as you can by hand, then turn the dough our onto a flour-dusted counter and knead, addd flour as neccessary. Be careful not to add too much, or the bread will be dry. This is a sticky dough and a dough-scaper or spatula will be helpful in scaping it off the counter while kneading. Knead for more than 5 min. Dump the dough back into the bowl (no need to wash it or 'grease' it!) and cover the bowl with plastic wrap. Let the dough rise till double (the time will depend on whether you use regular or fast rising yeast- should be about 1 h for regular and 30min for fast rising).
Scrape the dough out onto the counter again and give it a few kneads. Flour the counter will and shape the dough into a regular shaped rectangle and use a floured rolling pin the roll it out. Roll the short side to match your loaf pan width and roll it as 'long' as you want. Spread the sugar and cinnamon over the drizzle the vanilla over it all. Roll it up and make sure there is no sugar over the last inch or so, so the dough seals. Strech dough over the open ends, so the sugar doesn't leak out and place the dough in a 'pam' sprayed large loaf pan (9X5?). Cover it with plastic wrap that has been sprayed with 'pam' and let it rise till just over the top of the pan. Bake in a 350 F oven for about 35-40 min.