Combine the flour, sugar, salt and yeast in a large mixing bowl. Add the yeast and salt to separate sides of the bowl.
Add milk and oil to the flour and mix until a shaggy dough is formed.
Tip out onto lightly floured work surface and knead for 10 minutes or until smooth.
Place dough in a lightly oiled or sprayed bowl, cover with plastic wrap and let rise for about 45 minutes or until about 1½ times its size.
Tip the dough onto a clean work surface , sprinkle the baking soda on top and knead again for about 5 minutes or until smooth again.
Roll the dough onto a long sausage shape and divide into 18 pieces each about 45 g.
Roll each piece into a smooth ball and place seam side down on your work surface. Cover with a tea cloth while you finish rolling them all into balls. Cut eighteen 3-inch squares out of parchment paper.
Use a rolling pin to roll each one out into a 3" round piece (not too thin).
Put one ball of chilled custard into the middle of the dough and gather up the dough around it like pulling up purse strings. Pinch the top several times to make sure it is sealed then roll it on the counter for a few seconds to make sure the seam is sealed and reshape the ball. Set each piece onto an individual parchment paper square and then arrange on two baking sheets. Cover with lightly sprayed plastic wrap and proof for 30 minutes.
Set your steamer basket in a deep pan with one inch of water and bring to a boil. A typical two tiered bamboo steamer basket can hold 4-5 bao per tier so you will have to steam them in batches. Load the steamer basket with the bao, put the lid on, turn the heat to medium and steam for 12 minutes. Remove the bao from the steamer and remove the parchment paper.
Allow to cool for only a couple of minutes before digging in !