In a large stand mixer, combine milk, yeast, sugar, salt, butter, egg and 3 cups flour. Knead on low until a smooth dough ball forms, adding more flour ¼ cup at a time to achieve desired texture. Your dough should be tacky, but not sticky.
Transfer dough to a lightly greased mixing bowl, cover with a towel, and let rise until double in size, about 1 hour.
Roll dough into a large rectangle, about 1/4 inch thick, and 24 inches wide. Cut the dough into 4 strips, about 6 inches wide on each.
Roll strip up. Continue rolling gently until ends and seams are pinched together (otherwise it'll unroll in the baking process).
Put rolls on a lightly greased jelly baking sheets. Let rise about 30 minutes.
Preheat oven to 375 degrees. Bake rolls for 12-15 minutes until lightly browned.