In a mixer, beat the sugar and butter until light and fluffy. Add the eggs one at a time, mixing well after each addition. Add the vanilla and orange or lemon zest, and continue mixing. Add one-third of the flour, then remove the dough from the mixer. Gradually add the remaining flour and milk, alternating between them, and gently knead by hand until combined.

Cover the dough with plastic wrap and let it rest for 10 to 15 minutes. Then, shape the dough into cookies. The dough will be soft but easy to work with.

I made three baking sheets of cookies. Preheat the oven to 340°F (170°C) with the fan on. Brush the tops of the cookies with the egg wash. Bake two trays at a time. Prepare the third tray while the others bake. Bake for about 20 minutes, until golden. The cookies may be a little soft when they come out, but they will firm up as they cool and stay fluffy and delicious inside.