Preheat oven to 200 °C and spread a tray with parchment paper.
Dice the gorgonzola and mash finely with a fork. Cut butter into small pieces.
Knead butter, cheese, flour and egg well together, seasoning with pepper, salt and a pinch of cayenne. Form a roll of about 4 cm diameter, wrap in aluminum foil and put in the refrigerator to cool for an hour.
Cut the roll into slices about 1 cm thick (20 to 22 cookies) and place them on the parchment paper. Mix the egg yolk and milk, sprinkle on the cookies and bake on the middle shelf for about 15 minutes.
Serve: with raclette or cheese fondue, with a cheese platter or simply warm or chilled with wine. Drink: a well chilled, strong white wine.