Preheat oven to 350.
Line 3 baking trays with parchment paper; set aside.
Sift flour and baking powder together and set aside.
In your mixer's bowl, beat butter and sugar on low until pale and creamy.
Add egg yolks one at a time and beat until well combined.
In a separate bowl beat egg whites on high until soft peaks form; set aside.
Add vanilla extract to the butter and sugar mixture and mix until thoroughly combined.
Alternately fold in milk, egg whites and flour mixture until a soft but still slightly sticky dough forms. Start with 3 cups of flour, check the consistency of the dough before adding more flour (a tablespoon at a time), and when you can pick a bit into your hands and roll it into a small ball without it sticking to your fingers, it’s ready to shape.
Lightly flour a work surface; transfer the dough to the surface and knead the dough for 3 minutes.
To shape the dough into braids or twists, take walnut-size pieces of dough and use your fingers to roll them into strands about 6 inches long.
Bend each strand in half, then twist to form a braid.
Place on prepared baking trays, about an inch apart, and brush with whisked egg yolk.
Bake for 8 to 10 minutes, or until lightly golden, but not brown.
Cool slightly on baking tray, then move to cooling rack to cool completely.
Serve with coffee or tea.