To make the sponge, warm a small bowl by rinsing it with hot water. Pour in warm water, and sprinkle 1 package yeast on it. Let stand until yeast has dissolved. Stir in 1/2 cup flour, cover with plastic wrap, and let stand until doubled, about 30 minutes.
Sprinkle remaining package yeast over warm milk. Let stand until dissolved.
Beat together sugar, eggs, egg yolks, and vanilla. Mix in yeast-milk mixture. Add sponge, and stir until well incorporated.
In the bowl of an electric mixer fitted with the paddle attachment, combine butter and remaining 3 1/2 cups flour until crumbly. Slowly pour in egg mixture, and beat on high speed for 3 to 4 minutes, until dough is elastic-looking and long strands form. Beat in fruit and zests. Turn dough into an oiled bowl, cover with plastic wrap, and leave in a warm place to rise until doubled, 2 to 3 hours.
Fold down tops of bags to form a 3-inch cuff. Brush inside and out with melted butter.
Turn out dough onto a lightly floured board and knead a few times to deflate. Divide dough into three pieces. Roll each into a ball, and drop into prepared bags. Place bags on a baking sheet about 4 inches apart, and cover loosely with plastic wrap. Leave in a warm place to rise until doubled again, about 2 hours.
Heat oven to 400 degrees. Carefully cut an X in the top of each loaf with oiled scissors. In a small bowl, whisk together the egg yolk and heavy cream to make an egg wash. Brush top of each loaf with egg wash. Place baking sheet in bottom third of oven. After 10 minutes, lower heat to 375 degrees. Bake for 30 more minutes; if tops get too brown while baking, cover with foil. Loaves are done when a wooden skewer inserted into centers comes out clean. Cool on a wire rack.