Heat the milk to 37-40°C (98-104°F). Keep all other ingredients at room temperature. The warmth activates the yeast.
In a large bowl, combine flour and yeast in a small well. Mix the yeast with a bit of flour. Add the sugar, egg, and salt. Slowly pour in the warm milk while stirring. Add the soft butter. Knead until the dough is smooth and elastic. Cover with a tea towel and let rise in a warm place for 1 hour until roughly doubled in size.
Roll out the dough into a large rectangle. Brush generously with butter. Sprinkle with cinnamon sugar and walnuts. Roll up tightly from the longer side. Cut into 3 cm thick slices using a sharp knife.
Place the rolls side by side in a greased springform pan. Cover and let rise for 30 minutes.
Preheat the oven to 200°C (390°F) with top and bottom heat. Bake for 25-30 minutes until golden brown.