Add the milk, butter and sugar to a large glass or pyrex measuring cup and heat in the microwave just until the butter melts and the milk is slightly warm to the touch. (You can also heat the mixture in a pot on the stove over low heat if desired).
Add the milk mixture to the bowl of your stand mixer (or a large mixing bowl if you plan to make the buns by hand).
Add the yeast to the milk mixture that's just above room temperature (as long as the milk isn't too hot...let it cool for a few minutes if it got too hot).
Stir the yeast into the milk slightly and let sit for about 5 minutes.
Add the egg, flour and salt to the bowl of the stand mixer and mix on low speed until a soft dough forms. The dough will be quite sticky - this is ok. Flour your hands and form it into a ball, placing it back into the bowl to rise.
Cover the bowl with plastic wrap and let rise in a warm place for 1 hour.
Once the dough has risen punch it down and roll it out on a well floured surface into the shape of a rectangle, until the dough is about 1/2 inch thick.
Slice the rectangle in half, into two squares using a pizza cutter or pastry cutter. Slice each square into 12 small rectangles (make 3 vertical slices and 2 horizontal slices).
Lightly grease two 12-cup muffin tins with butter or cooking spray.
Mix together the granulated sugar and cinnamon in a bowl. Dip each dough rectangle in the melted butter and then in the cinnamon sugar mixture until they're completely coated.
Twist each dough rectangle once in the middle and then press them into the prepared muffin cups, with the ends facing up.
Preheat your oven to 350 degrees Fahrenheit and let the buns rise (covered with a clean kitchen towel) while the oven preheats (about 20 minutes).
Bake at 350 degrees Fahrenheit for about 15-18 minutes until the buns are golden brown and the edges are slightly crispy.
Let cool in the muffin tins for several minutes before serving warm, or removing them to a wire rack to cool completely.