In a separate mixing bowl or jug, combine the orange juice, zest, vanilla, baking powder and soda. Stir and add this back to creamed butter mixture. Mix again until well incorporated.
At low speed, slowly add the flour, making sure it is mixed well before adding the next one.
Check the dough with your fingers - it should feel soft (not sticky) - yet pliable.
Roll out the dough into a long rope - approx. 20 cm (7-8") and form into your desired koulourakia shapes.
Combine the egg yolk and milk, brush the koulourakia and sprinkle over sesame seeds.
Bake for 20- 22 mins until they have coloured. Leave them on the baking sheet for 5 mins before transferring to wwire rack to cool completely.