Cream together the butter and sugar. Add the egg yolks one at a time, beating well after each addition. Stir in the milk, vanilla, orange zest, 2 cups of the flour and the baking powder. Mix well. Using your hands, work in the rest of the flour to make a stiff dough. Preheat oven to 180 degrees C.
Take golf ball sized portions of dough and roll out into thin sausages. Roll them into coils and place on a an ungreased baking tray. Brush the tops with beaten egg.