Heat the milk in a small saucepan over medium heat until simmering. Pour into a small jug with a spout and let it cool to 115°F.
Stir together the raisins and rum and set aside to soak for at least 30 minutes, but preferably an hour or two.
Dump the flour into a large mixing bowl and add the salt and yeast on opposite sides of the bowl, stirring each one into the flour with your finger. Stir in the sugar.
Add half of the olive oil, the egg, egg yolks, vanilla, and lemon zest. Gradually trickle in enough of the cooled milk to make a sticky dough. Keep mixing and crushing the dough until all the flour is picked up from the bowl.
Turn the dough onto a floured countertop. Knead, stretch, and slap the dough against the countertop until it's fairly stiff and quite smooth, adding flour as needed. When it's kneaded sufficiently, it should be tacky, but should mostly clean your hands and work surface. This should take about 20 minutes.
Double-check your kneading by doing the windowpane test. Break off a lump of dough and gently stretch it between your hands, using your thumbs and forefingers to stretch the dough thinly. It should be translucent without tearing. If it tears, knead longer and check again.
Now, it's time to add the remaining oil. This step is crucial to getting the distinctive fluffy, stringy texture of outstanding kozunak. Roughly flatten the kneaded dough and pour about ¼ of the remaining oil on top. Fold the dough over the oil and knead until the oil is incorporated. At first, it will be greasy, but keep working the dough for a few minutes, and it will absorb the oil. Stretch the dough into a long rope and fold it in half periodically during the kneading. Add the rest of the oil in 3 more additions, kneading until smooth. This step should take about 15 minutes.
Shape the dough into a ball. Pour a little oil in a mixing bowl and add the dough, turning it to coat, then cover tightly with plastic wrap and set aside to prove in a warm place until at least doubled in size, approximately 1 ½ hours to 2 hours.