To prepare the dough, combine milk, sugar, and oil in a large pot. Heat just to boiling, stirring occasionally, and then remove from heat.
If you’ve got lots of ice handy, dump all that you have into a clean sink and then place the pan of scalded milk over the ice. This way, the milk mixture cools quickly and the melted ice just drips down the drain.
When the milk is warm (around 105-115 degrees), remove from ice and sprinkle yeast over the milk mixture. Allow to stand for 10 minutes. Stir. Mix in 8 cups of flour (lightly spooned into measuring cups and leveled with a knife) with a wooden spoon (the dough will be VERY soft, almost like a batter) and cover with a clean dish cloth and allow to rise for 1 hour.
Mix remaining 1 cup flour with baking soda, baking powder, and salt. Sprinkle over the dough and then mix it in with the wooden spoon. Place a sheet of plastic wrap over the pan and refrigerate for at least a few hours and up to a few days--just be sure to check on it periodically and punch the dough down if necessary.
When ready to make your King Cakes, decide how you want to prepare them. This dough will make enough for 2 large king cakes, 16 small, individual cakes, or a combination of the two (like one large cake and 8 small cakes). You'll also need to decide how you want to fill them (I'm including instructions for cinnamon cream cheese, cream cheese and fruit, and cinnamon sugar. See the notes below for individual filling instructions.
To Make Large Cakes
To prepare cakes, line 2 baking sheets with parchment paper. Turn dough onto a greased surface and divide in half. Roll one half into a 4-5″-24″ rectangle. If using one of the cream cheese fillings, spread with 1/2 of the cream cheese mixture. If using cinnamon sugar, spread about 3-4 tablespoons softened butter onto the dough, sprinkle with cinnamon sugar. and then carefully roll the dough lengthwise into a tube. Seal the edges of the dough and then carefully form a circle and seal the two ends together.
Place on a greased cookie sheet and cover with a clean cloth.
Preheat oven to 375 and repeat with other 1/2 portion of dough.
Bake each ring for 20-35 minutes or until the tops are deep, golden brown–you don’t want to burn them, but you want to make sure the cakes are cooked all the way through. Remove from oven and allow to cool completely.