Dissolve yeast in warm water and allow to rest until yeast softens and becomes foamy. About 10 minutes
Mix together milk, butter and dry rosemary (if using fresh add it in later). Heat until butter is melted. Do not allow it to boil or get hot.
Mix together 2 1/2 cups flour, yeast mixture, sugar, 1 tsp salt, fresh rosemary if using, and milk in a stand mixer. Mix with dough hook until combined. Add in enough additional flour so the dough pulls away from the sides of the bowl. Knead until soft but still slightly tacky. About 5-6 minutes.
Place dough in a clean bowl and coat with olive oi. Cover loosely with plastic or a cloth towel and allow to rise in a warm spot until doubled. About 1 hour.
Preheat oven to 375 degrees F.
Place dough on a lightly floured work surface and shape into a one inch thick rectangle. Cut into 24 square pieces. Roll each piece into a ball and place on a parchment lined baking sheet. Pinch the seams together and place on the underside.
Mix together egg and 1 tsp water and brush over each roll. Sprinkle with sea salt.
Cover and let rise in warm place until doubled, about 25 minutes Bake for 12-15 minutes or until golden brown.