In a small bowl, combine warm milk and sugar. Sprinkle yeast on top, stir, and let it sit for 5-10 minutes until foamy.
In a large mixing bowl, sift together flour, cocoa powder, and salt.
Add the yeast mixture, melted butter, egg, and vanilla extract into the dry ingredients. Mix until a dough forms.
Knead the dough for about 8-10 minutes until smooth and elastic.
Cover the dough and let it rise in a warm place for about 1 hour, or until doubled in size.
Punch down the dough and divide into equal portions (about 8-10). Shape into balls and place on a greased or parchment-lined baking tray.
Let the buns rise again for 30 minutes. Preheat oven to 350°F (175°C).
Bake for 15-18 minutes, or until the tops are slightly firm.
Brush the warm buns with butter for a glossy finish. Optional: Dust with powdered sugar or drizzle melted chocolate on top.