In the bowl of a stand mixer (or a normal large mixing bowl if doing by hand), combine the yeast, water, and sugar. Let stand 5 minutes until foamy. With the cookie paddle attachment add the butter, salt, dry milk powder, 3 cups flour and egg. Beat together until very smooth (if not using a stand mixer you can use a hand mixer till this point). Change to the dough hook (If not using a stand mixer you can start kneading by hand) and slowly add the remaining flour until a soft but not sticky dough is formed. Knead the dough for at least 6 minutes if using a stand mixer and for at least 12 minutes if mixing the dough by hand. When the dough is smooth and elastic, place it in a lightly greased large bowl covered with greased plastic wrap and let it rise until doubled, about 45-60 minutes. (See pictures for how I grease the bowl I made the dough in.)

Separate the dough in 2. Roll each section out to about an 11X14-inch rectangle, roughly 1/4- 1/3 inch thick. Use a pastry brush to spread the top of the dough with melted butter. Using a pizza cutter, cut the dough into two pieces, the long way (see pictures). Then slice the dough into five or six strips across so you end up with 10 to 12 small rectangles. Roll each small rectangle up like you would a jelly roll and place on a silipat mat, parchment paper, or lightly greased baking sheet with the roll resting on its open edge. Repeat with the second half of the dough.

Cover the rolls with lightly greased plastic wrap and let them rise until doubled, about 45-60 minutes. Bake at 375 degrees F for 12-14 minutes until they are nicely browned on top. Brush rolls using a pastry brush with butter as soon as they come out of the oven.