In a small saucepan, melt the butter, then add the milk and warm to 37ºC/98ºF.
Pour a little of the warmed milk/butter mixture over the yeast and use a silicone spatula to stir to dissolve the yeast. Add the remaining warm milk/butter mixture, sugar, flour and salt.
Turn the mixer on medium speed and work the dough until it pulls away from the sides completely. Cover and allow to rise for at least 30 minutes.
Lightly flour a clean work surface. Split the dough in half and use a rolling pin to roll each into a thin rectangular sheet.
Fill and roll the dough:
Whisk the cinnamon and sugar until combined, in a small bowl, or shake in a jar.
Spread the softened butter liberally over the surface of the rolled out dough. Sprinkle with the cinnamon sugar mixture and top with nuts. I did half with nuts and the other half without.
Roll the filled dough lengthwise and cut into equal pieces. Place the rolls on a parchment covered baking sheet, or in lightly greased muffin tins.
Cover with a clean towel and allow to rise for at least 20 minutes.
Bake the rolls:
While the rolls proof, heat the oven to 250ºC/475ºF.
After 20 minutes, remove the towel and use a clean pastry brush to lightly coat the rolls with the whisked egg.
Top with a little pearl sugar, if you like.
Place the tray with the rolls on the middle rack of the heated oven and bake for about 8 minutes, until golden brown.
Remove from the oven, place on a cooling rack, cover with a towel and allow to cool. You may choose to top with a cream cheese frosting, but we prefer them plain.