Stir together first 4 ingredients in a small heavy saucepan; add egg, and stir until blended. Cook over low heat, stirring constantly, 10 to 12 minutes or until mixture thickens slightly and begins to bubble around the edges. (Cooked mixture will have a thickness similar to heavy cream.) Use immediately.
Try This Twist! Lime Curd Glaze: Substitute lime zest for lemon zest and lime juice for lemon juice.