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Heat your oven to 425 degrees.
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In a mixing bowl, whisk the flour, baking powder, and salt together. I recommend using a whisk because it will remove any clumps.
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Crack the egg into a one cup liquid measuring cup. Add enough milk so that the mixture measure 200 ml (7 ounces). Whisk to combine.
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Next, take a cheese grater, and use the grater to grate the butter into the flour mixture. Then use your fingers to mix the butter into the flour, until it resembles fine breadcrumbs. Stir in the granulated sugar.
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Use a fork and stir the vanilla and about ¾ of the milk mixture into the flour mixture. You want the dough to be soft and just slightly sticky. You will have some of the milk mixture leftover, and you will need it later.
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Place the dough on a floured surface and knead gently until the dough is evenly mixed. Use your hands to flatten the dough until it is ¾ of an inch thick. Use a biscuit cutter to form the scones, or use a knife to slice them into triangles.
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Arrange the scones on a parchment lined baking sheet, leaving 2 fingers space between each scone. Carefully brush the tops of the scones with the remaining milk mixture, making sure that none of the milk mixture runs down the sides of the scones.
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Bake the scones for 9-12 minutes, until golden brown.
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Mix up the vanilla glaze by combining the powdered sugar, vanilla, and milk. Let the scones cool for a few minutes, then brush them with the vanilla glaze.