In the bowl of a stand mixer, add the flour, sugar, yeast, egg, egg yolk, and milk. Using the hook attachment, mix on LOW speed for 1-2 minutes, until flour is mostly absorbed. Add the cubed softened butter and knead until a soft and pliable dough, about an additional 3-4 minutes. Knead on the counter for 30 seconds to shape into a ball.
Transfer the dough to a greased bowl, cover with saran wrap, and set aside in a warm environment for 1-2 hours, until doubled in size.
Preheat oven to 375F. Line a rimmed baking pan with parchment paper.
Once risen, turn out the dough on a clean surface to divide into 10-12 equal pieces. Roll into tight balls, then set aside while you prep the cream cheese filling.