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Heat the milk in a saucepan until tepid but not yet warm (check every 10 seconds).
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Combine the milk, sugar and yeast.
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Beat the egg.
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Combine the flour, oil, egg and salt in a bowl.
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Pour in the milk mixture, and stir with a spoon until the ball pulls away from the side of the bowl.
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Turn the ball onto a floured surface and knead for 6 minutes.
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Cover loosely and let rise for 60 minutes; the ball will just double.
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Punch down, divide into four, and form into buns about 5-6" in diameter.
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Preheat a baking stone in the oven at 375.
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Cover and let rise for an hour; they won't rise that much but they will look puffy and glossy.
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Transfer the buns to the baking stone.
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Cook for 19-20 minutes. They will more than double in height and will be medium brown on the top.