In a large bowl combine flour, sugar, yeast, cinnamon, nutmeg and salt. Make a well in the centre.
Add warm milk, melted butter and egg yolks. Mix until dough comes together( it will be sticky) You can knead this by hand for 5 minutes or alternatively in an electric mixer with the dough hook attachment for 5 minutes.Do this until dough is smooth and elastic.
Place dough in an lightly oiled bowl and cover loosely with plastic wrap and a tea towel. Set aside for 1 hour 30 minutes, or until dough has doubled in size.
Punch down dough with your fist. Turn onto a floured surface and knead for a further 3-4 minutes.
Roll out dough until 1 cm thick. Using an 6 cm cutter, cut 18 rounds from the dough and place on lined baking trays. Cover with a clean tea towel and set aside in a warm place for 25-30 minutes or until doughnuts have doubled in size.
For the flour crosses, place flour in a small bowl and gradually add cold water, mixing until a smooth paste forms. Spoon flour paste into a small plastic bag. Push paste to one corner and snip end and then pipe a cross on the top.
Pour canola oil in a large deep, heavy based saucepan one third full. Heat to 180 C on medium heat. (oil is ready when a cube of bread is dropped in it turns golden in 15 seconds.
Using a slotted spoon, deep fry 1-2 doughnuts at a time in the hot oil for 45-60 seconds until golden and puffed. Place on paper towel.
Mix cinnamon and sugar on a large plate and roll cooked donuts through the mixture. Repeat with the remaining donuts. Cool for 5 minutes.
Place desired filling in a piping bag fitted with a 1 cm nozzle. Push nozzle into side of each warm donut and pipe into donuts.
I also baked these hot cross donuts in the oven. They only seem to be good on the day you make them. Enjoy the either the deep fried or baked.