Add the warm milk, sugar and yeast to a large bowl (or the stand mixer). Allow to proof for 2 minutes.
Beat the eggs and oil into the milk, then gradually add flour and salt until a nice dough forms. It may be a bit sticky.
If using a stand mixer, using a kneading hook, knead the dough for about 10 minutes (about 15 to 20 minutes by hand) until a nice dough ball forms. If the dough is too sticky as it is kneading, gradually add a little flour at a time until no longer sticking to the sides of the bowl.
Remove the dough from the bowl and form a ball. Place back in the bowl and cover with a towel. Place in a warm spot and allow to rise until doubled, about 1 hour.
Punch the dough down. Turn the dough onto a surface and divide into 8 equal parts (12 if you want smaller rolls).
Spray a small pan that will fit inside your air fryer basket with cooking spray.
Place the dough balls evenly spaced in the pan.
Cover and allow to double in size for about 30 minutes.
Beat the egg and water together and gently brush over the rolls.
Place in the air fryer and set for 350° for 3 minutes. Gently remove and cover tightly with tinfoil.
Continue air frying at 350° for 15 minutes. Immediately run a knife around the edge of the pan and gently tip the rolls a little so you can check the bottom of the rolls. If the rolls are cooked through on the bottom, they are done. If not, cover and continue air frying for another 3 to 5 minutes. Repeat until the rolls are cooked through.
Remove and serve.