Once dough has doubled in size, punch down and roll into a ball on a floured surface.
Cut the dough evenly into 4 pieces and roll each piece out into a 10 inch circle. Place one circle on a parchment lined baking sheet with sides. Spread 1/3 of filling over the dough, leaving a 1/2 inch border around the edge. Place another piece of dough on top and spread with 1/3 of the filling. Add the third layer of dough and spread with remaining filling. Finish with the fourth dough round.
Place a 2 inch wide drink glass (or circle of parchment paper) in the center of the dough. Using a sharp knife, cut from the glass to the edge of the dough, cutting the dough into four pieces (like a pie). Cut each section in half, creating 8 sections. Cut each section in half again, creating 16 "slices of pie".
Remove glass or parchment circle. Lift the edges of 2 wedges that are next to each other and twist them away from each other, twice. Pinch the ends together to seal. Repeat with the remaining pairs of wedges, creating 8 "arms" of the snowflake.
Cover the formed snowflake dough with plastic wrap and let rise in a warm place until doubled in size, about 45 minutes, or let rise overnight in the refrigerator.
Preheat oven to 350 F. and position rack in center.
Brush the snowflake with the beaten egg mixed with water or milk.
Bake for 15 minutes, remove from the oven and carefully spoon any filling that has leaked out of bread back over the bread. Return to the oven and bake another 15 minutes or until golden brown.