In a large bowl, whisk together the milk, sugar, oil, and egg until smooth and homogeneous.
In another bowl, combine the flour, semolina, cornstarch, salt, vanilla bean paste, baking powder, and anise seeds.
Gradually whisk the milk mixture into the dry ingredients until it is completely incorporated. The dough should be soft and sticky. Cover and set aside for 1 hour.
After the dough has rested, it should have a smooth consistency and should not feel sticky anymore.
To form the cookies, divide the dough into apricot-sized balls and roll them into little sausages, about 8 inches (20 cm) long. Join the ends to form rings about 2 inches (5 cm) in diameter.
Preheat oven to 350˚F (180˚C). Line a baking sheet with parchment paper.