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Heat oven to 220°C/425°F/Gas 7/200°C fan. Line a baking tray with parchment paper or a silicone mat.
Mix together the flour, baking powder/soda, salt, pepper, and rosemary in a large bowl. Either rub in the butter using your fingers but if you have a mixer, this is even better. Mix just until the butter looks like breadcrumbs in the flour then add the cheese. Add the egg and milk and mix until fully combined. The result should be a sticky dough. If you find it's too dry, add a little bit more milk.
Roll out on a floured surface to about 2 cm thick (nearly an inch) and using a scone/cookie cutter (6cm/2.5"), cut out medium-sized rounds. Alternatively, to save time or if you don't have cutters, roll into a circle (use a plate as a guide) and cut into triangles with a sharp knife.
Place on the baking tray and brush with a mixture of egg yolk and a little milk to glaze (yolk is optional but recommended for a shiny glaze).
Bake for 10-15 minutes until golden brown.