In the bowl of a stand mixer, add the warm milk, instant yeast, granulated sugar, salt, and the large egg. Mix well with a whisk.
Add in the flour, and use the dough hook on low speed to mix together for 3-4 minutes. You should see the dough come together.
Once the dough comes together, slowly drop in the room temperature butter, 1 tablespoon at a time. Bump up the speed to 3 on the stand mixer so it isn't as slow but it isn't too fast.
Once you add in the butter, you should have a soft and pliable. It will be the tiniest bit sticky. Transfer to an oiled bowl, and cover. Let it rest in a warm spot to rise until doubled in size, about 1-2 hours..
Preheat the oven to 375 °F (once dough has risen)
Once risen, transfer the dough to a clean surface (without punching it down) and divide into 12-15 balls. Shape each dough piece into a smooth and round ball and set aside while you make the filling.