Add warm milk and yeast into a small bowl and let it stand for 5 minutes.
In a separate, medium-sized bowl, sift the flour, then add the egg, sugar, salt, and melted butter. Give it a light stir.
Then, combine the yeast and flour mixes. Mix until the dough turns into a ball. (It should not be sticky.)
Cover the bowl with a clean towel or some plastic wrap. Let the dough rise for 1 + 1/2 hours. Push the dough down, then let it rise one more time.
Cut the dough into 20 egg-size equal pieces. Using a glass cup, press down in the middle of each bun. Brush each pastry with the egg wash. Fill each piece with the sweet cheese filling.
Bake for 30 minutes, or until golden brown.