Preheat the oven to 200 c - then grease a square dish with some butter. Slice each bun in half - so you have 8 squares Spread each slice with butter, then arrange around the dish with the sliced with the crosses on top. Sprinkle each slice with sugar.
Lightly beat the egg, milk and vanilla with the nutmeg and pour into the dish, ensuring all slices have a good soak. Sprinkle with some more Sugar and then bake for 30 minutes. Serve warm with custard.