Combine warm milk and yeast. Take your time here and make sure everything is evenly distributed. I like to use a large bowl so there's plenty of room to work.
Mix in sugar, butter, egg, and flour.
Knead until smooth and let rise 30 minutes. The dough should feel smooth and slightly tacky but not sticky. If it's too dry, add a tiny splash of water; if too sticky, dust with a little more flour.
Roll dough, spread cinnamon-sugar filling. The dough should feel smooth and slightly tacky but not sticky. If it's too dry, add a tiny splash of water; if too sticky, dust with a little more flour.
Roll tightly and slice into 9 pieces. Try to keep your pieces roughly the same size so everything cooks evenly.
Bake at 375°F for 18–20 minutes. Every oven is a little different, so start checking a few minutes early. You're looking for a golden color and a wonderful aroma filling your kitchen.