Warm the oven: Preheat the oven to 140°F / 60 ° C for a few minutes and then turn it off.
Proof the yeast: Add the yeast and a teaspoon of sugar to the warm milk and give it a little stir. Let the mixture sit for about 10 minutes, until it becomes foamy and bubbly.
Make the dough: Mix the flour, sugar and the salt. Set aside.In a large bowl, mix the yeast mixture together the beaten egg. Add the dry ingredients and mix until a soft dough forms, adding 1-3 tablespoons more flour if needed or if dough is too sticky. The dough should be a bit tacky, but not sticky. Knead the dough for about 5 minutes on a lightly floured surface. Add the melted butter and knead for another minute or so.
Let the dough rise*: Grease an oven-proof bowl and put the dough in it. Cover with plastic wrap and then a clean kitchen towel and place it in the warm oven and let it rise for about 1 – 1 ½ hours.
Make the filling: Mix together the butter, sugar, and cinnamon. Set aside.
Roll out and cut the dough: After the dough has risen, lightly grease your work surface with a little oil and roll out the dough into a rectangle. Spread the dough with the filling and then tightly roll it up, starting from the bottom. Cut into 10 – 12 pieces, (the number of pieces will depend on how large your rectangle is).
Let the dough rise a second time: Place the pieces in a pan, about 2 inches (5 cm) apart and let them rise a second time (about 30 minutes). They should double in size.*
Bake: Preheat the oven to 180 °C / 355° F. Bake for about 20 – 30 minutes or until they’re golden brown and puffy. Then let them cool for about 15 minutes.
Make the glaze: Mix the powdered sugar with the milk, adding more if necessary. Drizzle over the cooled rolls.
Cover the cinnamon rolls tightly and store for up to 5 days in the refrigerator and reheat in the microwave.