Make the Custard: In a medium saucepan, whisk together the milk, eggs, sugar, cornstarch, and salt until smooth. Place the saucepan over medium heat and cook, whisking constantly, until the custard thickens. Once it reaches a creamy consistency, remove from heat and stir in the vanilla extract. Let it cool slightly.
Prepare the Dough: Roll out your dough on a lightly floured surface to about 1/4 inch thickness. Cut into even strips or squares.
Assemble the Rolls: Place a spoonful of the cooled custard mixture in the center of each piece of dough. Roll up the dough to encase the custard, creating a rose shape. Place the rolls in a greased baking dish.
Bake the Rolls: Preheat your oven to 350°F (175°C). Bake the rolls for 25-30 minutes or until golden brown and puffed.
Cool and Serve: Allow the rolls to cool slightly before serving. Optionally, dust with powdered sugar or drizzle with extra custard for an added touch of sweetness.