Sift together all dry ingredients. Whisk the milk, egg, and anise seed until frothy. Combine flour and milk mixtures to make a dough.
On a floured surface, knead for 5 to 10 minutes. Cut into approximately 30 pieces and shape into balls. Cover with a cloth and let stand for 20 minutes.
In a heavy pan, heat the oil to 350 degrees and fry the bunuelos 3 to 5 minutes or until golden brown. Drain on paper towels and serve with Cinnamon Wine Sauce.
Cinnamon wine sauce: Simmer all ingredients, constantly stirring until the sugar is dissolved. Spoon over the bunuelos.