In a microwave safe measuring cup, heat the milk to 100°F / 38°C. Whisk in the yeast and the sugar. Set aside until the mixture begins to foam. (~5 minutes)
While waiting, add the flour, salt, egg, and butter to the bowl of a stand mixer fitted with the dough hook attachment. When the yeast mixture begins to foam, add it in to the rest of the ingredients.
Knead the dough on low speed for 1 minute to allow the ingredients to come together. Increase the speed to medium-high and knead for an additional 10-20 minutes, or until the dough passes the windowpane test.**
Once the dough is done kneading, butter the inside of the bowl, form the dough into a ball and place it back in the bowl. Then cover the mixing bowl with plastic wrap. At this point, you could set the dough in the fridge to rise overnight, or continue with completing the recipe in one day. If doing in one day, set the dough in a warm area and wait for it to double in size (~1 hour.)***
Once the dough has finished rising, lightly punch it down to remove any excess air in it.
Transfer the dough to a clean, lightly floured surface. Divide the dough into 6 equal pieces, and roll each piece into a ball.
Use a rolling pin to roll each piece out into a ~4" circle. If the dough keeps springing back, let it rest for 5 minutes, then try rolling again.
Transfer the buns to a parchment lined baking sheet, spacing them apart to allow room for spreading. Leave the buns in a warm environment until they puff up a little, ~30 minutes. In the meantime, make the cheesecake filling.