Chewy and soft, these fragrant rolls are best served right out of the oven.
Heat milk in a small saucepan over medium heat until it registers 110 degrees on an instant-read thermometer; transfer to a bowl. Stir in 2 tablespoons sugar. Sprinkle with yeast; let mixture stand until foamy, about 10 minutes.
Process flour, remaining 2 tablespoons sugar, salt, and butter pieces in a food processor until mixture resembles coarse meal. Add milk mixture and the yolks; process until combined. Transfer to a well-oiled bowl; cover with plastic wrap. Refrigerate 4 hours or overnight.
Preheat oven to 375 degrees. On a lightly floured work surface, roll out dough to form a 15-by-18-inch rectangle. Brush surface with melted butter. Sprinkle dough evenly with cheese, thyme, and pepper.
Fold dough in half horizontally. Roll out to form a 10-by-18-inch rectangle. Cut into 10-inch-long, 1/2-inch-wide strips.
Twist 2 strips around each other; pinch edges to keep strips from unraveling. Shape twist to form a spiral; transfer to a baking sheet lined with parchment paper. Repeat with remaining strips.
Brush twists with egg wash. Bake until deep golden brown, 20 to 22 minutes.