Preheat oven to 400 F. Lightly grease a baking sheet (I just used foil)
In a large bowl, combine flour, sugar, baking powder, and salt. Cut in butter. Mix the egg and milk in a small bowl, and stir into flour mixture until moistened.
Turn dough out onto a lightly floured surface, and knead briefly. Roll dough out into a 1/2 inch thick round. Cut into 8 wedges, and place on the prepared baking sheet.
Bake 15 minutes in the preheated oven, or until golden brown.
Notes
Just a note, I make them exactly as the recipe calls for. After I rolled it out to about 1/2", it did make 8 scones. After I baked them, it made super big scones, if you want smaller scones that are easier to eat, you can always split the dough in half, then roll that out to about 1/4", I may try that next time and see what happens. If anyone try's it, be sure to let me know how it comes out.