Preheat the oven to 350˚F (180˚C). Line a large baking sheet with parchment paper.
Stir the baking powder into the lukewarm milk and set aside.
In a large bowl, whisk together the sugar and eggs for about 5 minutes until creamy.
Stir in the salt, lemon zest, and olive oil, then gradually fold in the sifted flour and the baking powder/milk mixture.
Mix together well to make a soft dough, then tip onto the work surface and knead for 10 minutes.
Shape the dough into a 3 foot (1 meter) long sausage, approximately 1 1/2 inches (4 centimeters) wide, then cut into approximately 2 1/2 inch (6.5 centimeter) lengths. You should end up with 15 pieces.
With your hands, flatten and length each piece slightly, rounding off the ends.
Space the shaped pieces of dough out onto the prepared baking sheet, sprinkle with a little sugar, then bake in the oven for 20 minutes, until lightly golden.
Remove from the oven, leave to cool completely on the baking sheet, then serve.
These cookies will keep in an airtight container at room temperature for up to a week (if they last that long!).