Dissolve yeast in warm water. Combine milk, butter, sugar, salt and egg in large bowl. Add yeast mixture and beat for 4 minutes at medium speed. Stir in enough flour to form a soft dough. Turn out onto a floured surface and knead until smooth and elastic, working in more flour if necessary.
Place in a greased bowl, cover and let rise in a warm place until doubled, about 30 minitues. Punch down and divide dough into 18 pieces. Flatten each piece and wrap around a marshmallow, pinching to seal. Place on a greased cookie sheet and let rise for 30 minutes. Dip balls in melted butter and roll in a mixture of sugar and cinnamon. Bake 350~ for 30 minutes on greased cookie sheet.
