Dissolve the yeast in the milk, add the sugar and mix well. After nearly five minutes, you should see a little bubbling, even just on the sides: this means the yeast is active. If not, start all over again.
After a ball has formed, knead ten more minutes with the mixer, or twenty with your hands: you are looking for a very elastic and smooth dough.
Sprinkle some flour on the bottom of a bowl, place the ball, cover it with a damp cloth and let rise for 2 hours in a warm spot (next to the radiator or inside the oven - light on).
Once the dough has raised, divide it in twelve pieces and form 3 inches (6-7 cm) diameter balls.
Roll them out (0.25 inches – 0.5 cm height) into a round-ish shape. You can cut out the dough with a circular cutter (or a mug).
Place a teaspoon of tomato sauce, 2-3 cubes of mozzarella and ½ teaspoon of ham in the center of each circle.
Lightly brush some water over the perimeter edges and fold the dough into a crescent shape. Press with your fingertips to seal.
Heat a couple of cups of frying oil (I used a wok) and fry the panzerotti less than a minute per side, until lightly golden brown. Serve hot.