Preheat oven to 400 degrees. Line baking sheets with baking mat or parchment paper.
In a large mixing bowl, cream butter and sugar together until light and fluffy (about 4 minutes).
Beat in eggs one at a time. Add vanilla and orange juice. Scrape sides and beat until combined.
Add baking soda to the milk and stir to dissolve.
Add flour and milk to the butter mixture in 3 alternating additions (add 1/3 of the flour, mix, add half of the milk, mix, then more flour, mix, etc.)
On a floured surface roll out the dough into a long snake about 3/4 inch around. Cut into 3" pieces.
Shape into an S and place on baking sheet a few inches apart. Whisk together the egg yolk with 1 teaspoon water and brush the tops of the cookies.
Bake at 400 degrees for about 20 minutes until cookies are golden brown.