Mix the flour, salt and sugar in a bowl. Add the butter and rub together using your hands to form an even, crumbly mixture, then create a well in the middle. Pour the milk, yeast and egg into the well, mix and combine quickly to form a smooth dough. Leave the dough to rise for approx. 1½ hrs.
To laminate the dough
On a lightly floured surface, roll out the dough into a rectangle approx. 1 cm thick. Cover one half of the dough evenly with butter, leaving a border of approx. 1 cm. Fold the other half over the top, press the edges down firmly, cover and chill for approx. 30 mins. On a lightly floured surface, roll out the dough once again into a rectangle approx. 1 cm thick. Fold the short sides into the middle, then fold one half over the other to create 4 layers. Cover the dough and chill for approx. 1 hr., repeat the process, cover and chill again for approx. 1 hr.
On a lightly floured surface, roll the dough out into a rectangle (approx. 40 x 60 cm). Brush the dough with a little water. Mix the sugar and cinnamon, sprinkle on top. Roll up the dough from the longest edge, cut into approx. 15 slices (each approx. 4 cm thick). Make a hole in the centre of each using the end of a wooden spoon. Place the pieces of dough on a baking tray lined with baking paper. Cover and leave to rise at room temperature for approx. 30 mins.
Approx. 20 mins. in the centre of an oven preheated to 200°C. Remove from the oven, leave to cool on a cooling rack.