To the heated milk, add the yeast, sugar, salt and oil. Take 1 phyllo pastry sheet and smear it with the mixture. Place a 2nd sheet on top, smear it as well.
Place a 3rd sheet, smear it, then place some of the prepared filling of feta cheese and egg white at one end of the shorter side.
Wrap it into a roll and place in a pre-greased tray. Repeat this process for all of the rolls.
Smear them with a mixture of milk, egg yolk and oil, sprinkle with sesame seeds on top. Cut them into pieces and bake in a preheated 392°F (200 °C) oven until golden.