In a baking bowl, combine butter, sugar, flour, milk, salt, vanilla sugar and cinnamon. Knead until you get a firm dough. Form a ball and rest for 1/2 hour.
Preheat the oven to 180 degrees.
Divide the dough into egg size pieces, flatten them with a floured tin. Brush the cookies with egg yolk and cut the surface with a knife.
Bake in the oven for about 15 minutes and serve with tea or coffee.