If using active dry or fresh yeast – heat up the milk, either in the microwave or in a saucepan, until it is “fingervarm” (finger warm), meaning it should feel warm to the touch but not hot. Add the yeast and sugar and stir to dissolve. Let it rest 5-10 minutes until it begins to froth and bubble a little bit. If using instant yeast – just add the yeast and milk in the next step.
Add the egg and salt to a large bowl. Either wait for the yeast mixture to froth up and add it, or just add the yeast, milk, and sugar in this step. Mix well.
Slowly add the flour and softened butter, mixing with a wooden spoon until the dough starts to come together.
Knead until smooth and elastic, about 10 minutes. Add more flour if the dough is too sticky; it should be soft and smooth, not too sticky nor too dry. Use a stand mixer if you would prefer!
Let rise at room temperature (if room temp is very cold wherever you are, put it in a warm place, i.e. under a light) for about one hour or until doubled in size.
Once dough has risen, divide dough into 2 equal pieces and roll each piece into a circle. If you have a pack of 10 hot dogs, cut each circle into 10 triangles (so you have 20 total). If you have a pack of 8, cut each circle into 8 triangles (so you have 16 total).
Cut your hot dogs in half, or use cocktail sausages. Place each piece on the larger end of the triangle and roll towards the point.
Place the rolls on a prepared baking sheet with the point underneath so it doesn't unroll. Cover and let rise for another 30 minutes. In the meantime, preheat your oven to 400 degrees F (204C).
Brush with egg wash and add sesame seeds to the top.
Bake for 15-20 minutes until golden brown!