Note: Double batch for Thanksgiving.
Heat bowl with very hot water. Place warm water in warm bowl. Add yeast and let stand 5 minutes to dissolve.
Scald milk in microwave. Cut butter into chunks and stir into milk. After the butter melts, add sugar and salt.
Add yeast mixture, egg, and 2/3 of flour. Beat until smooth. Add remaining flour. Cover with wax paper and refrigerate 2 hours to 3 days.
Divide dough into 3 parts (6 if doubling batch). Flour a countertop. Roll each part into a 15 inch circle. Spread melted butter on top. Cut into 10 pie pieces. Roll up loosely from wide end to tip. Place on greased cookie sheet. Cover and let rise in warm place until double in size.
Bake at 400 degrees F for 10 to 12 minutes.