Pre-heat your oven to 190° (or 170°c for a fan assisted oven or Gas Mark 5) and grease a couple of baking sheets. Set aside.
In a large bowl, sift the flour. Add the butter/margarine and rub together with your fingers until it resembles breadcrumbs.
Add the sugar and egg to the mixture. Add the milk a spoonful at a time, mixing together to create a thick, sticky dough – you may not need all the milk.
Roll a small amount of dough in your hands to make a ball, about the size of a ping-pong ball. Place onto your prepared baking sheets and repeat with the rest of the dough, making 12 balls in total.
Using a floured finger, poke a hole into the top of each bun, gently pressing right down.
Spoon a small amount of jam into these holes - using a small teaspoon and adding a little water to your jam beforehand will make this step easier.
Bake in your pre-heated oven for around 15 minutes until they have a nice golden colour.
Allow to cool a little on the baking sheets before transferring to a wire rack to cool completely.