Preheat the oven to 350 degrees F and line 2 baking sheets with parchment paper or silicone baking mats.
In a food processor, pulse together the butter and sugar until yellow and fluffy, then add the eggs one at a time. Add the flour, baking powder, vanilla and lemon zest and continue pulsing until a firm dough forms.
Scoop off golf ball-sized pieces of dough and roll with your hands into oval shapes. Dip the cookies in the milk, then roll in the sesame seeds. Space 2-inches apart on the prepared baking sheets. Bake until brown and toasty, 10 to 12 minutes. Cool completely on the baking sheets, or cool 2 minutes, then transfer to racks to cool completely (if the baking sheets are needed for another batch). Cookies will last about 3 weeks in a sealed container.