Preheat oven to 350 degrees F. Lightly grease baking sheets.
In a small bowl combine sugar, orange zest, and sherry, and set aside to let flavors infuse the sugar. In a large mixing bowl, thoroughly combine flour, baking powder, anise seed, and salt. In another bowl, beat the lard with an electric mixer until fluffy. Add lard and infused sugar to flour mixture and knead until it forms a cohesive mass. On a floured surface, roll dough to a thickness of 1/4-inch. Cut into rectangles and pinch 1 of the short sides into deditos (little toes) which will spread apart when baking.
For the topping, combine cinnamon with sugar in a small bowl. Brush rectangles with beaten egg and sprinkle with topping. Transfer cookies with a spatula to baking sheet and bake 8 to 10 minutes until crispy and edges are just beginning to turn golden. Serve with cota tea or atole.