For the milk rolls, put the flour and dry yeast in a bowl and mix. Add the remaining ingredients and knead with a food processor for about 5 minutes.
Cover the dough and let it rise in a warm place for about 1/2 hour. (The dough should double in size) Knead the dough again by hand on a floured work surface.
Form small rolls, brush with beaten egg and bake the milk rolls for about 20 minutes in the preheated oven.