Adjust oven rack to low position and heat oven to 200 degrees. Once oven reaches 200 degrees, maintain oven temperature 10 minutes, then turn off oven heat.
Microwave milk and sugar in microwave-safe measuring cup or bowl at full power until warm (about 95 degrees). (Alternatively, heat milk and sugar in small saucepan over medium heat until warm; remove from heat.) Whisk to dissolve sugar. Sprinkle yeast over surface of liquid, cover with plastic wrap, and set aside for 10 minutes to soften yeast. Whisk egg into milk mixture, dissolving yeast.
Combine flour and salt in bowl of standing mixer fitted with paddle attachment; mix on lowest speed to blend, about 15 seconds. With mixer running, add milk mixture in steady stream; mix on low speed until flour is just moistened, about 1 minute. With mixer running, add butter one piece at a time; increase speed to medium and beat until combined and dough is scrappy, about 2 minutes. Replace paddle with dough hook and knead dough until smooth but still sticky, about 4 minutes. Scrape dough out onto work surface. Knead by hand until very smooth and soft but no longer sticky, about 1 minute; do not add more flour. Transfer dough to large bowl, cover with plastic wrap, and place in warm oven until dough doubles in bulk, about 45 minutes.
Line 2 rimmed baking sheets with parchment paper. Punch down dough, replace plastic wrap, and let dough rest 5 minutes. Turn dough onto lightly floured work surface and follow illustrations 1 through 8 (below) to shape and cut into triangles. Transfer rolls to baking sheets, then cover each with clean kitchen towels and let rise until almost doubled in bulk, 20 to 30 minutes. Remove towels and (without pressing on the rolls) wrap baking sheets tightly with greased plastic wrap. Freeze rolls until solid, about 6 hours; transfer to large zipper-lock bag and freeze for up to 1 month.
When ready to bake rolls, adjust oven racks to upper- and lower-middle positions; heat oven to 375 degrees. Place frozen rolls on 2 parchment-lined rimmed baking sheets; let stand at room temperature for 30 to 45 minutes. Bake until golden brown, about 15 minutes, rotating baking sheets front to back and switching positions from top to bottom halfway through baking time. Transfer rolls immediately to wire rack; cool 5 minutes and serve.