In a small saucepan or a bowl in the microwave, warm the milk until it’s lukewarm but not hot (about 110 degrees).
Add yeast and a pinch of sugar and let sit for 5 to 10 minutes, until slightly foamy.
In an electric mixer fitted with the dough hook, or in a food processor, mix together flour, 1/3 cup sugar, the salt, the vanilla, the lemon zest (if using), and the nutmeg.
Beat or process in the yeast mixture and eggs until the dough comes together in a soft mass, about 2 minutes. If the dough sticks to the side of the bowl and doesn’t come together, add a tablespoon more flour at a time until it does, beating very well in between additions.
Add half the butter and beat or pulse until the dough is smooth and elastic, 3 to 5 minutes, scraping down the sides of the bowl with a spatula as needed.
Beat in the rest of the butter and continue to beat or pulse until the dough is smooth and stretchy, another 5 to 7 minutes. Again, if the dough sticks to the sides of the bowl, add additional flour, 1 tablespoon at a time.
Butter a clean bowl, form the dough into a ball, and roll it around in the bowl so all sides are buttered.
Cover the bowl with a clean towel and let it rise in a warm, draft-free place (inside of a turned-off oven with the oven light on is good) until it puffs and rises, about 1 to 2 hours. It may not double in bulk but it should rise.
Press the dough down with your hands, re-cover the bowl and refrigerate overnight (or, in a pinch, for at least 4 hours, but the flavor won't be as developed).