In a large mixing bowl, (or the bowl of a stand mixer, if using) whisk together the warm milk, sugar, and the yeast. Let sit for 5-10 minutes, until foamy and active.

Add the egg, flour, and salt and mix together until you have a shaggy dough.

Place the dough onto a countertop and knead for 5 minutes, until dough is smooth. (Or do this in a stand mixer for 2-3 minutes.)

Set the dough in a bowl and cover with plastic wrap and a towel, let sit at room temperature, until doubled in size, about an hour or so.

When the dough has risen, punch it down, let it rest for 10 minutes on the counter and then roll it into a rectangle shape about 12 x 18 inches.

Brush with melted butter.

Starting with the long edge, roll the dough into a log, keeping it pretty tightly rolled, as you would with cinnamon buns. Pinch the seam closed and roll so the log is seam side down.

Using a sharp knife, slice the log down the center, lengthwise, leaving about an inch or so at the top unsliced.

Carefully turn each half of the dough so the filling is facing up. Twist the two lengths over each other, like a braid but with only two pieces. You will end up with one long twist of dough and should see the layers of cheese and dough from the top.

Carefully lay the loaf on a parchment or silicone mat lined baking sheet.

Bake at 350 for 30-40 minutes, or until done.