In a small bowl, combine the yeast and milk, stir, and let stand until ready to use. Make sure the milk is lukewarm (or room temperature) or the yeast will not react.
Butter a large mixing bowl, set aside.
Add 2 1/2 cups of the flour and the granulated sugar to the bowl of a stand mixer fitted with the dough hook. Add the whole egg, egg yolk and a pinch of salt, and beat on low speed for 1 minute. Gradually add the milk and yeast mixture and the butter cubes, a few at a time, mixing well after each addition. Beat on medium speed for about 7 to 8 minutes, or until the dough looks shiny and pulls away from the sides of the bowl and is beginning to form a ball around the hook.
Transfer the dough to the large buttered bowl and cover with a clean kitchen towel. Place it in the warmest part of your kitchen, away from any drafts. Let rise anywhere from 1 to 1 1/2 hours, or until it has doubled in size.
Meanwhile, with a fork, mash the remaining 3/4 cup of butter in a medium bowl until smooth. Add the cookie crumbs, confectioners' sugar, and the remaining flour and mix thoroughly. Form into a ball and wrap in plastic wrap. Let stand at room temperature until ready to use.
Once it has risen, roll the dough into 24 balls and place them on 2 parchment-lined baking sheets. Moisten your hands in water and roll the cookie crumb mixture into 24 small balls, then press each one to flatten and place on the tops of the dough balls - pressing gently into the dough to secure. Use the tip of a sharp knife to cut crisscross marks on top of each slightly flattened ball.
Let the conchas rise in the warmest part of your kitchen for 40 to 45 minutes or until doubled in size. About 10 to 15 minutes before ready to bake, preheat your oven to 350 degrees fahrenheit.
Bake the conchas for 15 minutes or until lightly browned. Transfer to wire racks and let cool until you can't resist biting into them!