In a medium-sized mixing bowl, mix together flour, milk, yeast, and salt until stiff.
Cut the butter into four pieces and mix them in one piece at a time, beating for a full minute between each addition and an additional three minutes after the last addition. The dough should look smooth and satiny.
Place dough in an oiled bowl that gives it a little room to rise, cover in plastic wrap, and refrigerate for at least two hours or overnight.
When ready to bake, preheat oven to 275 F.
Sprinkle a work surface liberally with sanding sugar as you would flour.
Place some of the rest of the sanding sugar on top of the dough and roll the dough out to 1/8" thick. Add more sanding sugar to the top of the dough and also lift the dough and add more to the bottom as needed to fill spaces that don't have much sugar or simply to keep the dough from sticking.
Use a pizza wheel or a knife to cut the dough into diamonds (or any other shape you like).
Place the cut dough onto a parchment-lined cookie sheet, each dough piece one inch apart from the next.
Bake for 30-45 minutes until the cookies have puffed up slightly and are a light brown color.
Cool on a cooling rack.
Some versions of this recipe call for the addition of a few drops of lemon oil. I did not add this, but it would be worth trying.