In a large bowl, combine the flour, sugar and salt. Make a hollow in the middle, crumble in the yeast and a pinch of sugar and pour over enough of the milk to cover; stir just the yeast and milk once or twice, then cover the bowl with a kitchen towel and let rest for about 15 minutes or until the surface of the yeast milk looks bubbly.
Add the rest of the ingredients (the remaining milk, eggs and olive oil) stir until a dough forms and then knead on a lightly floured countertop for a few minutes, until smooth. (The dough was a little sticky; don't worry about it.) Put it back in the bowl, cover and let rest in a warm place for 30 minutes to an hour, or until doubled in size.
Punch it down softly, then flip the dough onto a lightly floured surface and sprinkle with a little flour. Cut the dough into 10 equally sized portions and form into balls, then let them rest on a baking sheet, covered with a towel, for another 30 minutes.
Flatten each ball of dough and roll out into a thin circle and brush with the softened pork lard. Roll each up loosely, then coil so that it resembles a snail's shell; keeping it a bit loose as the dough will rise further. Place about five ensaimadas on each baking sheet, making sure to leave enough space between them. Lightly brush with lard (if you like - we missed this step) and cover up again. Let them rise for 1-4 hours, until nice and poufy; or if you want them for the next morning, refrigerate overnight, which will slow the rise.
Preheat the oven to 390° F and bake for 14 to 16 minutes, or until golden. Dust with icing sugar and eat while still warm.