Preheat the oven to 350.

Line two cookie sheets with parchment paper.

In a large mixing bowl, combine the following: flour, sugar, baking soda, and anise seed. In a small mixing bowl, whisk together the olive oil, milk, and orange zest. Add the olive oil mixture to the flour mixture and stir until smooth dough forms. Divide the dough into 4 balls. Carefully roll each dough ball out to form a thick rope 1 1/2 inches in diameter. Dough might crack slightly when rooling. If it does, simply press together and continue to roll until rope is formed. With a very sharp knife cut the dough ropes into 1/2 inch slices. Place each slice onto the lined cookie sheets about 1" apart. Bake in the preheated oven for 15 minutes until golden. Remove from the oven and carefully place cookies on a cooling rack. Cool completely.