Preheat your oven to 400°F (200°C).
In a mixing bowl, combine flour, sugar, baking powder, and salt.
Cut in the cold, cubed butter until the mixture resembles coarse crumbs.
In a separate bowl, whisk together milk, egg, and vanilla extract.
Pour the wet ingredients into the dry ingredients and mix until just combined.
Turn the dough out onto a floured surface and knead gently.
Pat the dough into a circle about 1-inch thick and cut into wedges.
Place the wedges on a baking sheet and bake for 12-15 minutes, or until golden brown.