To begin, preheat your oven to 375°F (190°C). In a large mixing bowl, combine the masa harina, grated cheese, and a pinch of salt. Use your hands or a spoon to mix the dry ingredients thoroughly, ensuring the cheese is evenly distributed.

Add the egg and melted butter to the dry mixture. Gradually pour in the milk, kneading the dough with your hands until it comes together. The dough should be firm yet pliable, similar to playdough. If it feels too dry, add a tablespoon of milk at a time until the desired consistency is achieved.

Pinch off small portions of dough and roll them into balls about 1.5 inches in diameter. Flatten each ball slightly and use your thumb or a small round object to create a hole in the centre, forming a doughnut shape.

Arrange the shaped doughnuts on a parchment lined baking sheet. Bake in the preheated oven for 20-25 minutes, or until they are golden and firm to the touch. Alternatively, you can fry the doughnuts in hot oil (about 350°F/175°C) for 2-3 minutes per side until golden brown.

While the rosquillas bake, prepare the syrup. In a medium saucepan, combine panela, water, cinnamon sticks, cloves, star anise (if using), and orange zest. Bring the mixture to a boil over medium heat, stirring occasionally to dissolve the panela.

Reduce the heat to low and let the syrup simmer for 10-15 minutes. Allow the flavours of the spices to infuse while the syrup thickens slightly. Strain the syrup to remove the spices and zest, then return it to the pan and keep it warm on low heat.

Once the rosquillas are done, remove them from the oven and let them cool for a few minutes. Carefully place the doughnuts into the warm syrup, ensuring they are fully coated. Allow them to soak for 2-3 minutes, turning occasionally for even absorption.

To serve, arrange the rosquillas on a plate and drizzle them generously with the remaining syrup. Garnish with a sprinkle of grated queso seco or a dusting of cinnamon for added flavour. Serve warm, alongside a cup of coffee or horchata for a traditional touch.