Dissolve the yeast and sugar in the warm milk. Leave them for 10 min. to bubble.
Sift the flour and from the ingredients listed above (excluding the cheeses, they're for the filling), knead a soft and elastic dough. Cover the dough and let it rise for about 30 min.
In the meantime, grate the cheese. Roll out the dough into a rectangle, distribute some feta cheese and cheese. If desired you can also add some savory and some kind of sausage.
Roll it up and cut it into slices. Smear an oven dish with oil. Arrange the sliced cheese buns with the cut facing up. Cover them and let them rise for 20 min.
Smear them with egg yolk on top and 2 tbsp milk, sprinkle each bun with grated cheese and savory if desired. Bake in a preheated 392°F (200 °C) oven for 15-20 min.