Warm milk to 110 degrees, pour into a medium bowl and sprinkle with yeast then let soften for about 2 minutes. Sprinkle with brown sugar and set aside until foamy, roughly 5 minutes or so.
Combine flour and fine salt in bowl you will mix in (if you have a stand mixer make sure you are using a dough hook). With the mixer on low speed, add the yeast mixture and warm butter. Mix until dough is slightly smooth and soft but still sticky. Coat a large bowl with cooking spray add dough, cover and let stand at room temperature until doubled in size (about an hour).
Turn dough out onto floured surface. Stretch it into a 16 inch long log, cut into even sections (this will all depend on the size of the buns you want to make). Stretch each section out to roughly 6 inches, wind into a coil and tuck the end underneath. Transfer the rolls to a greased baking sheet and cover with plastic wrap. After 15 minutes at room temperature refrigerate for about 2 hours to allow it to slightly puff.
Preheat oven to 400 degrees. Fill a large pot with about 3 inches of water. Add baking soda and a 1/4 of course salt and bring to a boil. Add half the rolls to cook until slightly puffed up about a minute, flipping half way through. Re-coat baking sheet and place rolls back on it. Brush beaten egg on the rolls and sprinkle with coarse salt.
Bake until golden brown (about 15-20 minutes). Transfer to a cooling rack and allow to cool down for about 10 minutes.