1st Step, the Preferment:
First dilute the yeast in the warm milk (37ºC) and then add the flour. Knead 1 min dough mode.
Make a ball with the dough, put it in a bowl covered with greased transparent film and let stand 1-3 hours in a warm place. It won't grow much (yet)
For the flavored sugar: Make the powdered sugar by programming 30 seconds at speed 5-10. Add the orange peel and ½ lemon peel (without a white part) and blend 15 seconds in speed 10. Put aside
For flavored milk: Pour the milk, one orange peel, 1/2 lemon peel and a cinnamon stick and program 5 minutes, 90º, reverse and stir speed. Let that cool down an bit and put aside.
2nd Step: the dough
Put in the jar the flavored icing sugar and all the ingredients of the dough including the flavored milk (if less than 80g in total, add more milk)
Add the preferment and program 30 seconds in speed 6. You will see that the dough is sticky, not liquid. Knead 3 minutes at dough speed. Let it rise in the Thermomix between 1 and 2 hours.
3rd Step, shape the roscón:
Remove the dough from the jar. Sprinkle some flour on the countertop, form a ball with the dough and knead it to remove some of the air (you may have to oil your hands to work with it). Work the dough. Let it rest for 15 minutes and then shape the roscón.
You have to put your fingers inside the ball, like making a big donut and use the dough weight to stretch it.
Work the dough until is that it is round equally and place it on a baking sheet on non-stick paper.
Brush with egg and let stand about 2 hours to double its volume. After growing, brush again with egg and add the decoration to your taste.
You can use candied fruit, sliced almonds, or wet sugar.
4th Step, the baking:
Preheat the oven to 200ºC with heat up and down, and bake 15-17 minutes until golden. If it browns too quickly, lower the temperature to 180º or cover with foil.