Preheat oven to 400℉. 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 ⅓ of the flour, mix, add half of the milk, mix, then more flour, mix, then the other half of the milk and third of the flour).
On a floured surface roll out the dough into a long snake about ½ inch around. Cut into 6" pieces.
Fold pieces in half and twist (or shape into an S) then place on baking sheet a few inches apart.
Whisk together the egg yolk with 1 teaspoon water and brush the tops of the cookies. Top with sesame or anise seeds, if desired.
Bake at 400℉ for about 20 minutes until cookies are golden brown.