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Mix the yeast and 1/4 cup warm water and allow the yeast to proof. Make sure the water is not too hot, or it will kill the yeast.
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Put the butter and milk into a microwave-safe bowl and heat one minute and thirty seconds on high. Butter should be mostly melted.
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Mix together 2 cups of the flour, sugar, and salt in a large bowl. If you have a Kitchen Aid mixer, add the ingredients to the mixer bowl.
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When the milk mixture has cooled slightly, add it to the mixer bowl and mix well with the paddle attachment.
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Add the egg and mix well.
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Pour in your yeast and water mixture and mix again.
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Switch to the dough hook (if using a mixer) and add remaining flour in increments until dough leaves the side of the bowl. It should be very soft and slightly sticky. When you put your finger in it, it should pull a little, but not totally stick to your finger and stretch out.
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Continue to knead the dough with the dough hook (or by hand) for about five minutes. Allow to rest while you make the filling.