In a measuring cup, stir together the milk, butter, yeast, and egg.
In a mixing bowl, combine the flour, sugar, nutmeg, and salt.
Pour the yeast mixture into the dry ingredients and mix using a stand mixer with a hook attachment. Start on low speed and increase to high for 3 minutes.
If kneading by hand, knead for 10 minutes until a smooth, soft, and slightly sticky dough forms.
Transfer to a greased bowl, cover, and let rise in a warm area for 2 hours.
Once the dough has doubled in size, roll it out onto a floured surface to roughly half an inch thick.
Use a large cookie cutter to cut out 3-4 inch diameter circles. Cover and let rise for another 30 minutes.