Place the milk in a small saucepan and heat over medium heat just until warm enough. Or you can even heat it in the microwave for 40 seconds. It should be at about 110 F, not too hot nor too cold. Once the milk is warm, add in the sugar and whisk well. Further, add in the yeast and whisk. Yeast is fed by sugar and this will help it multiply and activate. Set this aside for about 10 minutes until it look cloudy and foamy.
Meanwhile, in a separate bowl whisk together the egg, melted butter, and vanilla extract. And set aside.
In a large mixing bowl, whisk together the flour and salt. Set aside.
After the yeast is foamy, mix the wet ingredients together. So, you mix the egg mixture with the foamy yeast. Further, add the wet ingredients to the dry ingredients (flour and salt), stirring to blend; there's no need to beat the batter, just make sure everything is well-combined.
If you are making the dough by hand, turn it out onto a floured surface and knead for 5 minutes. The dough should be thick, soft, elastic, and slightly sticky. If using a stand mixer, switch to your dough hook attachment and knead the dough for 4 to 5 minutes.
Transfer the dough to a lightly oiled bowl don’t worry if it is a little bit sticky. Gently move the dough around in the bowl so it gets coated with oil. Cover the bowl with piece of plastic wrap and put it in a warm, draft-free spot and let it rise. The minimum time is an hour but up to overnight.