Preheat oven to 300°F. In a mixing bowl, beat sugar and egg. Add butter, vanilla and milk, then gradually mix in flour. Grease a large non-stick cookie sheet, and spread 1-1/2 tbsp. of batter into a 6" circle. Repeat, spacing circles 1" apart on cookie sheet. Bake the cookie circles until entire surface is light brown (edges may brown faster than center). Working quickly and carefully, gently lift each cookie from the pan using a metal spatula. Use a cone roller to shape each cookie, pinching the bottom closed. Cones will harden as they cool; remove mold only after cookie is firm.
Create a sundae bowl:
Use a small cereal bowl or glass prep bowl. Simply invert the bowl and place a warm cookie circle over its bottom, gently working the cookie to the shape of the bowl. Let harden.