Roll the dough into a rectangle shape and brush with the melted butter.
In a large bowl, combine sugar, cinnamon and chopped nuts, then layer over the dough. Starting with the long end, roll the dough up into a log. Moisten the edges with a little water to seal.
Cut the roll into slices. Place the slices into lightly buttered cake pans and set aside at room temperature. Allow to rise for approximately 1 ½ hours (the dough will have doubled in size). Pour the heavy cream over the rolls and bake at 350F (180C, Gas Mark 4) for approximately 25 to 30 minutes.
Combine the sugar, milk and vanilla and drizzle over the rolls during the last 5 minutes of baking.