Dissolve yeast in warm water in large bowl. Stir in milk, sugar, butter, salt, egg and 2 cups of the flour. Mix until smooth. Mix-in enough remaining flour to make dough easy to handle with lightly floured hands.
Turn dough onto lightly floured surface; knead until smooth and elastic, about 5 minutes. Place in greased bowl; turn greased side up. Cover; let rise in warm place until double, about 1 1/2 hours.
Punch down dough. Shape, let rise and bake as directed.
Do-ahead Tip: After kneading, dough can be covered and refrigerated in greased bowl no longer than 4 days. Refrigerating the dough will help develop the flavor of the dough, but is not necessary.
Up to 1/2 of the all-purpose flour can be substituted with white whole wheat flour for a wheat pastry.