Line 2 baking sheets with parchment paper. Set aside.
In a bowl, combine the flour, baking powder and salt. Set aside.
In another large bowl, rub the orange zest with the sugar using your fingers. Then beat on low speed for about a minute.
Add the butter to the sugar and beat on medium-high speed for 10 minutes, scraping the sides of the bowl when necessary. The mixture should be light and fluffy.
Add the eggs, one at a time, beating well after each addition.
Add the milk, vanilla, cognac, and orange juice and beat until well combined.
Gradually add the flour mixture, 1 cup at a time. Start beating on low speed, until the flour is just combined. Add more flour and mix it with a spatula.
Use you hands to add the remaining flour. If the dough is too wet or sticky, add more flour, a tablespoon at a time until it comes together. The dough should be pliable and soft, not sticky and you should be able to hold a piece between your hands, like the photo in the post. Don't overmix the dough because it will make the cookies hard.
Cover the dough with plastic wrap and let it rest for about half an hour.
Preheat the oven to 350 °F / 175 °C .
Weigh each piece of dough (about 1.2 oz / 35 g) before shaping to ensure all the cookies are the same size and bake evenly.
Take a piece of dough and roll it into a cord, about 10 inches (26 cm) long. Then shape it (see notes & photos in the post). Place on the baking sheet. Repeat with the remaining dough. Make sure the cookies are at least 2 inches (5 cm) apart on the baking tray.