Dissolve the yeast and sugar in the warm milk. Sift the flour into a bowl and make a well in the centre. Mix the egg yolks with the yeast and milk, and pour into the flour. Combine to a smooth soft dough, then knead for 10 minutes. Grease the inside of a large bowl. Place the dough in it, cover and leave to prove in a warm place for an hour. It will double in size. Lightly knead the dough on a floured surface and then roll into 5 cm-long sausages. Leave to rest for 10 minutes before cooking.
Heat the oil in a deep-fat fryer or large saucepan. To test if it is hot enough, add a cube of bread: it should brown within 1 minute.
Add a few dough sausages at a time. They will sink and resurface. Turn them when golden underneath, and when golden all over, remove them with a slotted spoon, drain and roll generously in caster sugar.