Line a baking sheet with a parchment paper and set aside.
Combine the warm milk, yeast, and sugar in a stand mixer bowl. If using active dry yeast, let it sit for 5-10 minutes, until foamy. Add the egg and whisk.
Add the flour and salt and mix using the dough hook until a dough forms.
Add the softened butter and mix until well combined.
Mix until a dough forms. If the dough is too sticky, add more flour, a tablespoon at a time, until it is manageable. But it shouldn't be hard.
Place the dough in a lightly greased bowl, cover it with a cloth or plastic wrap, and let it rise in a warm place for about 1 hour or until doubled in size.
Punch down the dough and turn it out onto a floured surface. Divide the dough into 8-10 equal pieces.
Roll each piece into a round shape and flatten using a rolling pin.
Using a pizza cutter or sharp knife, make long vertical cuts, and make sure you don't cut the two ends.
Place the hot dog on one end and roll up. (See blog post for images). Place the rolls on the lined baking sheet with the seam side facing down.
Cover the rolls with a clean towel and let them rise for an additional 30 minutes.
15 minutes before proofing time is over, Preheat your oven to 350°F.
Brush the tops of the rolls with the beaten egg mixture to give them a golden color.
Bake in the preheated oven for 15-20 minutes, or until the rolls are golden brown and sound hollow when tapped on the bottom.
Remove from the oven, brush with butter (optional), and let cool on a wire rack. Serve.