In the bowl of a food processor (or a large bowl), combine the flour, sugar, baking powder, salt and lemon zest. Add the butter and pulse or work with a pastry cutter, fork or your fingers until the mixture is well combined and crumbly, with bits of butter no bigger than a pea - you want to leave some larger bits, rather than blending it completely - the larger chunks are what will make them flaky.
If you used a food processor (this is my favourite way) - dump the mixture into a bowl. Add the milk and stir just until you have a soft dough (you may need to use your hands). Pat the dough out about 3/4" thick and cut into small rounds with a biscuit cutter, glass or open can rim, or a knife. Place on a baking sheet that has been sprayed with nonstick spray, spacing them an inch apart. If you like, brush the tops lightly with milk and sprinkle with coarse sugar.
Bake for 20 minutes, or until golden. Cool on a wire rack.