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First, make the brioche dough. Put the flour, yeast, sugar and 2 tsp salt into the bowl of a stand mixer fitted with a dough hook. Pour 2 tbsp of the beaten egg into a small bowl and set aside. Tip the rest of the egg into the mixer bowl along with the warmed milk. Mix on a medium speed until the mixture comes together to form a dough, then carry on mixing for 5 mins on a medium speed, or until springy and glossy.
With the machine still running, add the butter, a small piece at a time, until fully incorporated, about 8-10 mins. At first, it will look like it’s not coming together, but keep working the dough, scraping down the sides of the mixing bowl as you go. Once all the butter has been worked in, carry on mixing for a minute or two until smooth. Form into a ball and cover the bowl with a tea towel. Leave for about an hour until doubled in size.
Tip the dough out onto a floured surface and knead to knock out the air, then divide into 24 equal pieces, roughly weighing 45g each, and roll each into a ball. Take the cheese out of the box, set aside and put the empty box in the middle of a large baking tray lined with baking parchment. Arrange a ring of 8-10 dough balls around the box, then another ring of balls around that one, fitting them into the gaps. Leave to prove in a warm place for 30 mins or chill for a few hours.
Heat the oven to 200C/180C fan/gas 6. Brush the dough balls with the reserved beaten egg, sprinkle with salt and use a pair of scissors to make a snip in the top of each one to give them a spiked effect. Unwrap the cheese and return to the wooden box. Sprinkle over the breadcrumbs and thyme leaves, and bake for 25-30 mins until the dough balls are golden brown. Leave to cool for 5 mins, then scatter over the bay leaves, if using, and serve with cranberry sauce or chilli jam.