Measure out ingredients into bowls. This is called mise en place and will help greatly as you prepare to make this king cake.

In a small bowl, dissolve the yeast in the warm water. Stir well to allow the yeast to start working, and then set it aside. (You will know the yeast is working when the mixture turns into a slurry and some bubbles form on the surface. If this does not happen, it's possible that your yeast was scalded by too hot water or the packet was old.)

In the bowl of an upright mixer, combine the scalded milk, sugar, butter, salt, vanilla extract, orange zest and orange juice. Mix with the wire whisk attachment on slow speed until the butter is melted, and then allow this to cool slightly.

Replace the wire whisk attachment with the dough hook. Stir in 2 cups of the flour, and beat on medium speed until smooth. 

Add the yeast mixture and the beaten eggs. Mix again until well incorporated. 

Add the flour one cup at a time until all the flour has been measured and the dough is no longer sticky. It should pull away from the sides of the bowl. 

Continue mixing on a slow speed with the dough hook for about 5 minutes to knead the dough. Add a little more flour if it looks like the dough surface is sticking to the bowl or if it looks too moist. (You can also knead the dough by hand at this point. I like to do this until the dough is nice and smooth and not too sticky/wet.)

Once kneaded, transfer the dough into a greased bowl. Cover with plastic wrap, and place in a warm spot. Allow the dough to rise and double in size. (About 90 minutes, depending on the temperature of your home.)

While the dough is rising, make the fillings. 

In a medium-sized bowl, combine the softened cream cheese with the sugar, egg yolks and vanilla. Set aside.

In another bowl, combine the sugar, cinnamon and water, then set aside.

Punch down the dough, then transfer it to a floured surface. Now, roll it out into a rectangle. (Make it about a ½" thick.) 

Smooth the cinnamon-sugar mixture over the dough with the back of a spoon or a butter knife.

Add the cream cheese filling just inside one long edge of the dough, spreading with a spoon. Top it with the raspberry jam, spreading it evenly on top.

Starting on the long side closest, roll the dough into a log, pinching gently to keep it rolled. Be gentle with the dough, and keep in mind that this part can get messy. (You've been warned!) Pinch the seal closed gently.

Once rolled, shape it into a complete ring or circle, and transfer to a parchment paper-lined sheet pan. 

Place the sheet pan in a warm spot, and allow the dough to rise and double in size again. (About 60 – 90 minutes.)

Preheat oven to 375°F.

Brush the risen dough with heavy whipping cream.

Bake the cake at 375°F for 10 minutes, then turn heat down to 350°F and bake for an additional 30 minutes, or until a cake tester comes out clean when poked through the largest section of the cake.

Allow the cake to cool completely on a wire rack.

Drizzle the cooled cake with the icing.

Sprinkle with colored sugar, and let the icing harden. (About 10-20 minutes.)

Just before slicing, add the plastic baby to the cake. (You will want to do this after the bake and before slicing so you know where it is. The baby can be a choking hazard, so be sure to inform your guests of the baby, as well as watch to ensure the person who receives it has spotted it before taking a bite.)

Slice and enjoy!