Prepare the Dough: In a large bowl, combine the warm milk (about 110°F/45°C), sugar, and dried yeast. Stir gently and let it sit for about 5-10 minutes, until the yeast activates and becomes foamy.

In a separate bowl, whisk the eggs, salt, and melted butter together. Add this mixture to the yeast mixture and stir to combine.

Gradually add the flour and baking powder to the wet mixture, stirring until a dough begins to form. Once the dough starts coming together, transfer it to a floured surface and knead it for about 10 minutes, until it’s smooth and elastic.

Place the dough in a greased bowl, cover it with a damp cloth, and let it rise in a warm place for 1-1.5 hours, or until it has doubled in size.

Prepare the Filling: While the dough is rising, mix the grated cheddar cheese, diced ham, and cream cheese in a bowl. Set aside.

Shape the Buns: Once the dough has risen, punch it down to remove any air bubbles. Turn it out onto a floured surface and roll it into a large rectangle (about 1/2-inch thick).

Spread the cheese and ham mixture evenly over the dough, leaving about a 1-inch border on all sides. Roll the dough up tightly from one end, then slice it into 12-15 equal pieces.

Arrange the dough rolls in a greased baking dish or on a baking tray lined with parchment paper.

Egg Wash & Topping: Beat the egg and brush it over the top of each dough roll to give them a golden finish. Sprinkle the sesame seeds on top.

Bake the Buns: Preheat your oven to 350°F (175°C) and bake the buns for 25-30 minutes, or until they are golden brown and puffed up. Check with a toothpick to make sure the buns are cooked through.

Make the Sauce: In a small bowl, combine the mayonnaise, ketchup, mustard, soy sauce, chili sauce, lemon juice, and vinegar. Stir until smooth. Taste and adjust the seasoning if necessary, adding more chili sauce or mustard to suit your preference.

Serve and Enjoy: Once the buns are baked, remove them from the oven and let them cool slightly. Serve warm with the creamy dipping sauce on the side.