Heat milk in a small saucepan over medium-high heat until the surface shimmers. Transfer to a medium bowl and let cool to body temperature, about 10 minutes.

Meanwhile, pour water into a small bowl. Sprinkle yeast over the water, stir, then let stand for 5 to 10 minutes to dissolve.

Add egg to the milk; whisk well. Whisk in sugar, salt, oil and the yeast. Stir in whole-wheat flour. Using a heavy wooden spoon, beat vigorously by hand for 100 strokes. Let stand for 5 minutes.

Start adding all-purpose flour to the dough, about 1/3 cup at a time, beating well after each addition. When the dough is somewhat firm and no longer too sticky to handle, turn it out onto a floured surface. With floured hands, knead the dough for 7 to 8 minutes, using additional flour as needed to prevent sticking. Coat a large bowl with cooking spray. Add the dough and turn to coat. Cover with plastic wrap and set aside in a warm, draft-free spot to rise until doubled in bulk, 1 to 1 1/2 hours.

When the dough has doubled, turn it out onto a floured surface and knead for 1 minute. Using a dough cutter or chef's knife, cut the dough into 8 equal pieces. Loosely cover with plastic wrap and let rest for 5 minutes.

Coat a large baking sheet with cooking spray and dust it with cornmeal. Shape the dough into tight balls and place them about 2 inches apart on the prepared baking sheet. Coat a large sheet of plastic wrap with cooking spray and place it over the buns, sprayed side down.

Set the buns in a warm, draft-free spot until they have risen by about half, 25 to 30 minutes. Gently press down on the buns, pressing right on the plastic, to flatten them a little. Let them rise for another 20 minutes. Preheat the oven to 375 degrees F.

Bake the buns on the center rack until golden and crusty, about 25 minutes. The bottoms should sound hollow when tapped. Cool on a wire rack for at least 15 minutes before slicing.

Cooking Tip: To bring a cold egg to room temperature: Place it in a bowl of warm water for several minutes.