You can knead the dough by hand but I personally prefer using a bread maker. Put all of the ingredients in the container - first the wet ones, then the dry ones. Of course, if you're using live yeast, beat it beforehand with part of the heated milk (no more than 86°F (30 °C)).
I used the dough setting, which is about 1 hour 30 min. on my bread maker. Toward the end, the dough may or may not be fully risen - wait for it to double in volume! Pour the prepared dough onto the counter you've oiled ahead of time. Divide it into 3 equal parts. Make 3-4 strips the length of a wiener from each part; the length must not be longer than your baking form.
Shape each strip into a wick; if you intend to add nuts, now is the time. Weave the resulting wicks together, 3 or 4 at a time, to form a cozonac. Don't rush, there's plenty of time. Place the resulting cozonac into a baking form - I used baking paper. Repeat this process for the other 2 cozonacs and leave them to rise a 2nd time at room temperature (not in the oven). Now comes the tricky baking part.
Once the cozonacs have nearly doubled in volume, when the dough is soft but not sticky, turn the oven up to 122°F (50 °C). Smear them with the egg mixed with 3 1/3 tbsp (50 ml) oil and sprinkle with sugar (the first bit of sugar gets absorbed by the egg but any additional sugar remains crystal-like). Place the cozonacs in the oven for 15-20 min. (still at 122°F (50 °C)), once they visibly swell, turn it up to 356°F (180 °C), bake until they gain a golden crust and then cover with aluminum foil.
After another 30-35 min. they are ready. The foil prevents further baking on top, so if you want them darker, remove the foil and bake to the desired look. A slightly underbaked cozonac is more aromatic, while an overbaked one is crunchier and can last longer.