Creating Baked Crème Brûlée Donuts is straightforward when you follow these steps:

1. Preheat Your Oven: Preheat your oven to 375°F (190°C). Grease a donut pan with cooking spray or use silicone molds.
2. Mix Dry Ingredients: In a large bowl, whisk together the all-purpose flour, granulated sugar, baking powder, and salt.
3. Combine Wet Ingredients: In another bowl, mix together the milk, melted butter, egg, and vanilla extract until well combined.
4. Combine Mixtures: Gradually add the wet ingredients to the dry ingredients. Stir until just combined, being careful not to overmix.
5. Fill the Pan: Spoon or pipe the batter into the prepared donut pan, filling each cavity about halfway.
6. Bake: Bake in the preheated oven for 12-15 minutes or until the donuts spring back when lightly pressed.
7. Cool the Donuts: Allow the donuts to cool in the pan for about 5 minutes, then transfer them to a wire rack to cool completely.
8. Prepare the Filling: While the donuts cool, heat the heavy cream in a small saucepan over medium heat until just about to simmer. Remove from heat and add additional vanilla extract if desired.
9. Fill the Donuts: Using a piping bag or a small spoon, carefully fill each donut with the warmed cream mixture.
10. Caramelize the Top: Once filled, sprinkle a thin layer of granulated sugar atop each donut. Using a kitchen torch, carefully caramelize the sugar until it forms a crispy crust. If you don’t have a torch, you can place the donuts under a broiler for a few minutes, but watch closely to avoid burning.

These steps will help you create incredible Baked Crème Brûlée Donuts that will surely impress anyone you serve them to.