Heat the milk in a small saucepan until it bubbles, then remove from heat. Let cool until lukewarm.
In a small mixing bowl, dissolve yeast in the lukewarm milk. Let sit until creamy, about 10 minutes.
Pour the yeast mixture into a large mixing bowl. Mix in the molasses, egg, 4 cups of the rye flour, salt, and caraway seeds. Cover with a damp towel, and let rise for 45 minutes.
Stir in the remaining rye flour, 1/2 cup at a time, until the mixture forms a soft dough; stir well after each addition. (You may not need to add all of the rye flour.)Turn dough out onto a lightly floured surface, and knead until smooth and elastic, about 8 minutes. Lightly oil a large mixing bowl, place the dough in the bowl, and turn to coat with oil. Cover with a damp cloth, and put in a warm place to rise until doubled in volume, about 1 hour.
Deflate the dough, and turn it out onto a lightly floured surface. Divide the dough into two equal pieces, and form into loaves. Place the loaves into two lightly greased 9×5 inch loaf pans. Cover the loaves with a damp cloth, and let rise until doubled in volume, about 40 minutes.
Bake in a preheated 350 degrees F (175 degrees C) oven for about 30 minutes, or until the top is golden brown and the bottom of the loaf sounds hollow when tapped.