The URL above has directions for making this by hand. In a bread machine, put liquids, sugar, and salt in first, then flour, and yeast on top. I let it rise for an additional 20-30 minutes after the normal 1.5 hour cycle. Roll out into individual sizes, add filling, and then roll up. Let rise for another 30 minutes, then bake at 375 degrees for ~15 minutes (until golden brown).
Fillings: Butter + sugar is a good start, sweetened condensed milk is also nice (any that oozes out caramelizes during baking!). Nutella, sometimes with sliced strawberries, is also really nice. Our favorite savory option is red sauce, sausage, and cheese.