In a large bowl, mix the warm milk, sugar, and dry yeast. Let it rest for 5–10 minutes until the surface becomes foamy.
Add the flour, salt, and olive oil to the bowl. Mix until a dough forms. Knead for 8–10 minutes until smooth and elastic.
Cover the dough and let it rise in a warm place for 30–40 minutes, or until doubled in size.
Preheat your oven to 180°C (350°F).
Divide the dough into equal portions. Flatten each one and place a bit of cheese in the center.
Fold and pinch the edges to seal, shaping them into smooth rolls.
Place the rolls on a greased baking sheet, seam-side down. Brush each roll with beaten egg yolk.
Bake for 20–25 minutes, or until golden brown and the tops are shiny.
Let cool slightly before serving warm.