Preheat and Prepare: First, preheat your oven to 200°C (180°C fan) and line two large baking sheets with baking parchment. Getting your station ready first makes the process much smoother.

Prepare the Pastry: Unroll your sheet of puff pastry onto a lightly floured surface with the longer side facing you. Gently brush the entire surface with about half of the melted butter.

Create the Filling: In a small bowl, mix together the light brown soft sugar, demerara sugar, ground cinnamon, and ground nutmeg until well combined.

Fill and Fold: Sprinkle the cinnamon-sugar mixture evenly over the bottom half of the pastry sheet. Carefully fold the top half of the pastry down over the sugar-coated half, pressing down gently with your hands or a rolling pin to seal it.

Cut the Strips: Brush the top of the folded pastry with the beaten egg. Using a sharp knife or a pizza cutter, trim the edges to neaten them up, then cut the pastry into 12 even strips, each about 2-3 cm wide.

Twist and Shape: Take one strip of pastry. Hold one end down on your work surface and use your other hand to twist the strip several times to create a spiral shape. What works best for me is giving each strip about 4-5 full twists.

Arrange on Baking Sheets: Place each twist onto your prepared baking sheets, leaving a little space between them as they will puff up during baking. Press the ends down lightly to stop them from unravelling.

Bake to Perfection: Brush the tops of the twists with any remaining melted butter or egg wash. Bake for 15-18 minutes, or until they are deeply golden brown, puffed up, and the sugar is bubbling at the edges.

Cool and Glaze: Let the cinnamon twists cool on the baking sheets for a few minutes before transferring them to a wire rack to cool completely. While they cool, whisk together the sifted icing sugar, vanilla extract, and 1 tablespoon of milk to make a thick but pourable glaze. Add a little more milk if needed to reach the right consistency.

Finish and Serve: Once the twists are cool, drizzle the vanilla glaze over them. Allow the glaze to set for about 15 minutes before serving.