Gradually, add in the warm milk and butter, while scooping in some flour on top. Knead a soft dough and let it rise until doubled in volume.
To prepare the filling, mix the soft butter with the sugar and cinnamon. Divide the risen dough into 2 parts.
Roll out each one into a rectangle and smear with stuffing. Wrap into a tight roll and cut each roll into pieces about 3/4″ (2 cm) thick.
Arrange the cinnamon buns on a tray with baking paper or well greased muffin forms. Let them rise.
Coat them with the egg yolk beaten with a little water, sprinkle them with a little cinnamon sugar and put them to bake until ready in a preheated 356°F (180 °C) oven.