Bring water and butter to a low boil in a sauce pan.
Add in flour, small amounts at a time, stirring constantly. Move off heat and continue stirring a few minutes till it becomes a soft ball of dough.
Place in a bowl and keep stirring to cool down completely. Add in the vanilla and the lightly beaten egg (must wait for the dough to completely cook down, otherwise you will scramble the egg)... should take about 5 mins.
Heat the cooking oil in a frying pan about medium. Form the "fingers" by rolling in your hands, fry turning frequently so they cook inside before actually browning. Drain on paper towels, combine the sugar and cinnamon and roll the "fingers" in it. Perfect with hot chocolate.