In a small bowl, sprinkle the yeast over the warm milk. Give it a quick stir and let it sit for about 10 minutes, until it becomes nice and frothy.
Meanwhile, in the bowl of a stand mixer fitted with a dough hook—or just a large bowl if you're mixing by hand—combine the flour, sugar, and salt.
Once the yeast is ready, slowly pour it into the flour mixture along with the egg. Mix until the dough starts to come together into a soft, shaggy ball.
If the dough feels too dry and crumbly, add a splash more milk. If it’s too sticky, sprinkle in a bit more flour.
Turn the dough out onto a lightly floured surface and knead until it’s smooth and elastic. Then place it in a large bowl, cover it up, and let it rise at room temperature until it doubles in size—this usually takes about 1 ½ hours.
While the dough is finishing its rise, get your butter ready: slice it into ½-inch (1.25 cm) thick pieces and lay them out on a piece of parchment paper, forming a rough 8×8 inch (20×20 cm) square.
Cover the butter with another sheet of parchment and gently pound it with a rolling pin to bring the edges together, then roll it into a neat 9×9 inch (23×23 cm) square.
Chill the butter in the fridge for about 10 minutes—just enough so it's cool but still flexible. You want it pliable, not rock hard.
After the dough has risen, roll it out on a floured surface into a rectangle about 18×10 inches (46×25 cm).
Place your chilled butter square over half of the dough, leaving a little border around the edges.
Fold the other half of the dough over the butter and pinch the edges to seal it in. Wrap it up in plastic wrap and chill for 30 minutes.
Now, carefully roll the dough back out into a 16×10 inch (41×25 cm) rectangle, being gentle so the butter stays tucked inside.
Fold the dough into thirds, like folding a letter. Cover with plastic wrap and chill for another 30 minutes.
Roll it out again, fold it the same way, and chill. Repeat one more time for a total of three folds. After the final fold, let it rest in the fridge for another 30 minutes before you move on.