In a mixing bowl, combine yeast, about a teaspoon of the sugar and warm water. Let the mixture sit for about 5 minutes, or until foamy. Add the warm milk, the egg, the butter, sugar and salt. Stir everything well with a rubber spatula or a wooden spoon.
Add three cups of flour, one cup at a time, and stir well until incorporated. Add the remaining flour gradually while stirring, stopping when the dough gathers in the center of the bowl into a shaggy mass. You may not need all of the flour.
Turn the dough over on a floured board. Knead the dough, sprinkling flour when needed to prevent the dough from sticking too much. Knead until the dough is elastic, smooth and can stretch thinly. Shape the kneaded dough into a ball and place it in a bowl. Cover it with a clean kitchen towel and let it rise for 1 and 1/2 hours or until it has doubled in bulk.
Once risen, gently punch the dough down and divide it into 12 portions. Using a rolling pin or your palms, flatten a portion into a 4x3 inches rectangle or oval (does not need to be exact). Place a hotdog vertically in the middle of the rectangle. Cut horizontal slits using a knife (about half an inch thick) on both the sides of the dough that surrounds the hotdog.
Wrap the hotdog with the strips of dough, alternately folding from the left and then the right, over to the center. Repeat with the rest of the portions. Arrange the assembled hotdog buns on a baking tray lined with a silicone mat or parchment paper. Leave about an inch of spaces in between. Cover them loosely with a towel and let them rise for about an hour, or until soft and puffy.
Preheat oven to 350 F. Beat the egg and brush the surface of the buns with it. Sprinkle sesame seeds on top. Bake the braided hotdog buns for 18-25 minutes, or until the buns are lightly golden.