In a small saucepan, add a little bit of water just to cover the bottom of the saucepan. Pour in the milk, and heat over medium heat until a skin forms on top. Make sure the milk doesn't boil! Remove from heat and let cool to about 40°C (105 degrees Fahrenheit).
In a mixing bowl, combine the warm milk, sugar, and yeast. Mix until yeast dissolves. Let the mixture sit for about 10 minutes until the surface is frothy.
Add salt, vegetable oil, then gradually add flour. Knead until smooth and elastic. Shape the dough into a ball, and cover it with a clean tea towel. Put it in a warm, draft-free place to rise for 1 to 1 and a half hours or until the dough has almost doubled in size.
Divide the dough into even pieces. Shape each piece into a round ball and flatten with your hand to around 2cm (1") thick. Arrange the pieces on a baking sheet lined with parchment paper. Using your fingers, make a depression in the center of each bun.
In a small bowl whisk together the egg with a tablespoon of water. Brush the sides of the buns with egg wash.
Place a piece of butter, add grated cheese, and sprinkle salt and caraway seeds on top.
Preheat your oven to 180°C (350°F ). Bake for 20 to 25 minutes or until the buns are pale golden on top.