In a mixing bowl, combine sugar, yeast and warm water. Let sit until bubbly.
(5 minutes). Add milk, oil, and salt. Add flour until the dough pulls away from
the side.
Cover, let rise to double, 1 - 1 1/2 hours.
Line a baking sheet with parchment paper.
Divide into 10 pieces. Flatten into a rectangle, then fold the left and right
sides into the middle, then fold the top and bottom to the center, pinching the
edges together. Roll, until it's shaped like a cigar, about 6 inches long.
Continue, placing the rolls on the sheet pan. Cover, let rise for 30 minutes.
Preheat oven to 400F.
Brush egg wash, bake 20 minutes until golden brown. Cool on a rack before slicing.