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If making the dough by hand or in a stand mixer, warm the milk slightly. Combine the milk, egg, oil, sugar, and yeast in a large bowl. Allow to proof for five minutes. Stir in the flour and salt. This will form a stiff dough. Knead by hand on a floured surface or in the mixer with the bread hook until the dough is smooth and elastic. Place the dough in a greased bowl and allow to rise until doubled in bulk, about one hour.
Place all ingredients in bread machine pan according to manufacturer's instructions. Program for "dough."
When the dough is ready, divide into 12 equal portions. Form each portion into a thin loaf for hot dog buns. (You can form flat rounds for hamburger buns.) Place these on a baking sheet lined with parchment or a silpat mat.
Cover loosely with plastic wrap and allow to rest for 30 minutes.
Preheat oven to 375°Bake for 15-22 minutes, until lightly browned. Cool on a rack before slicing to serve.
To freeze: store cooled rolls in an airtight container in the freezer. Thaw at room temperature before serving.