Preheat oven to 350 degrees
Cream butter and sugar together on medium speed for a few minutes until fluffy
Add in eggs, one at a time until incorporated
Add milk and vanilla, mix
Lower mixer and add first cup of flour with baking powder and salt
Add rest of flour, one cup at a time until you can work with dough. It will be a little sticky.
Turn out on lightly floured board and knead for a few minutes. Cover dough with a clean kitchen towel and set aside for 15-20 minutes. If you're not sure if you've added enough flour, bake a few as a sample. If they flatten out too much, then you need to add a little more flour, perhaps 1/4 c.
Line baking sheets with parchment paper.
Take a small piece of dough (size of a walnut, about 1 T) and roll it into a long strip or rope. Fold this in half and twist the two halves together to form a braid. Continue with rest of dough.
Prepare your egg wash by mixing the egg and about 1 1/2 tsp. milk. Brush top of each koulourakia and add some sesame.
Bake for 15-20 minutes on middle rack, then on rack higher for another ten minutes. Everyone's oven is different, so keep watch to make sure they don't burn.