Step 1: Preheat and Prepare Your Baking Area

1. Preheat your oven to 375°F (190°C).
2. Line a baking sheet with parchment paper or a silicone baking mat to prevent sticking.

Step 2: Prepare the Puff Pastry

1. Roll out the puff pastry sheet on a lightly floured surface to smooth any creases.
2. Brush the entire surface of the puff pastry with melted butter, ensuring even coverage.

Step 3: Make the Cinnamon Sugar Filling

1. In a small bowl, mix together granulated sugar, cinnamon, brown sugar, and nutmeg until well combined.
2. Sprinkle the cinnamon sugar mixture evenly over the buttered pastry sheet.

Step 4: Fold and Cut the Pastry

1. Fold the pastry sheet in half lengthwise, pressing lightly to seal.
2. Using a sharp knife or pizza cutter, slice the pastry into 12 equal strips. Each strip should be about 1 inch wide.

Step 5: Twist the Strips

1. Pick up one strip at a time, twist it gently several times to create a spiral effect, and place it on the prepared baking sheet.
2. Leave about 1 inch of space between the twists to allow for puffing during baking.

Step 6: Bake the Twists

1. Bake in the preheated oven for 12-15 minutes, or until the twists are golden brown and puffed.
2. Remove from the oven and let them cool slightly on the baking sheet.

Step 7: Make the Glaze (Optional)

1. In a small bowl, whisk together powdered sugar, milk, and vanilla extract until smooth. Adjust the consistency by adding more milk for a thinner glaze or more sugar for a thicker one.
2. Drizzle the glaze over the slightly cooled twists.

Step 8: Serve and Enjoy

1. Serve warm or at room temperature. These twists are perfect on their own or paired with coffee, tea, or hot chocolate.