I find my oil takes about 20 minutes or longer to come to temperature, so I typically start the oil just before I start my donuts. Fill a medium-sized, heavy-bottomed saucepan 2-3 inches (5-7cm) deep with your oil over medium heat. Use a candy or frying thermometer (make sure it isn't touching the bottom of the pot) to monitor your temperature and heat oil to 350F (175C). Monitor the heat pretty regularly and note that you may need to increase/decrease your stove temperature to keep it consistent.
Combine flour, sugar, baking powder and salt in a large bowl and whisk until well-combined.
Use a box grater go grate the butter into small pieces and then add to the flour mixture and stir until well-incorporated (visible butter pieces will still remain). Note: If you do not have a box-grater, use a pastry cutter to cut the butter into the dry ingredients until the mixture resembles coarse crumbs, instead.
Add milk and gently stir until all ingredients are combined and the dough clings together.
Transfer dough onto a well-floured surface, and knead gently until it forms a cohesive ball. If dough is too sticky to manage, continue to work in flour until it is smooth and manageable (I’ve found on hot days or if my butter isn’t cold enough the dough can be quite sticky)
Portion off approximately 1 ½ Tbsp-sized pieces of dough and roll into smooth, tight balls. Set aside.
Prepare your cinnamon/sugar mixture for rolling by stirring together cinnamon and sugar in a small dish. Set aside.
Prepare a large plate or baking sheet for your cooked donut holes by lining generously with paper towels.
Once oil has reached 350F, very carefully fry your donut holes, only 2-3 at a time, carefully transferring them to the oil with a slotted spoon (don't drop them in or the oil may splash, lower them into the oil instead).
Fry donut holes for approximately 90 seconds*, turning half way through so they become evenly golden brown.
Remove carefully with a slotted spoon, and place donut holes on a paper towel laden plate. Allow them to sit for about a minute/until no longer too hot to touch, and then transfer them to your cinnamon/sugar dish, roll them in the mixture until fully covered. Make sure to allow your oil to return to 350F (175C) between batches.
Repeat until all donut holes are cooked and have been rolled in cinnamon sugar.