Warm the milk until lukewarm, then stir in the sugar and yeast. Let it stand for 10 minutes, or until foamy.
Sift the flour into a large bowl, add the salt, then pour in the yeast mixture and the egg. Start mixing the dough.
Knead the dough until smooth, then cover it with a clean kitchen towel and let it rise in a warm place for about 1 hour.
Roll out the risen dough into a rectangle and place thin slices of 200 g of cold butter on it. Fold one half of the dough over the other, then roll it out again and fold it together. Repeat this folding process three times, allowing 15-minute rests in between.
Melt the dark chocolate over a double boiler with the heavy cream, then stir in the chili powder. Let it cool down until it has a thick, spreadable consistency.
After the final rolling, cut the dough into triangles. Place a small amount of chili chocolate cream in the middle of each triangle, then roll it up into a croissant shape.
Place the croissants on a baking sheet lined with parchment paper and let them rise for another 30 minutes.
Preheat the oven to 350°F (180°C). Brush the croissants with a little beaten egg, then bake them for 18-20 minutes, or until golden brown.
When the croissants are baked, let them cool slightly, then sprinkle the tops with powdered sugar.
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