In a small measuring cup, whisk together warm water, sugar, and yeast. Let sit for 10 minutes. In a large bowl, combine flour and salt. Add in yeast mixture, melted butter, warm milk, and egg.
Mix until a dough forms. Knead dough on a floured surface until smooth. Place dough into a large greased bowl, turning to coat. Cover and let rise in a warm place for 1-2 hours.
Preheat oven to 400 F. Deflate dough and divide into 16-18 pieces. Roll each into a ball. Place onto a greased baking sheet. Cover and let rise for another 30-60 minutes. Bake for 15- 18 minutes.