Preheat oven to 375ºF.
In a large bowl, combine sugar and butter with an electric mixer until light and fluffy. Add egg; beat well. Add flour alternately with the milk to butter mixture, mixing well after each addition. Cover and wrap with plastic, chill for 15-30 minutes in refrigerator.
Fit a cookie press with serrated bar template. Fill cookie press with dough; press long strips onto ungreased cookie sheets, cut strips into 4” pieces.
Bake for 5-7 minutes or until edges are light brown. Immediately remove to wire racks to cool.
Sprinkle with confectioners sugar.