1Blend egg and milk. Mix flour, salt, and pepper. Dip cold fish into the egg mixture, then into the flour mixture. Fry the fish in small batches in oil heated to 375 degrees (I use peanut oil, but any oil will be fine). Small fillets require about 4 minutes to cook. If the fish and batter are cold and the oil is hot, the coating will seal in the flavors immediately and the cooked fish will be moist and flaky inside, and crisp and golden brown on the outside. Keep the fried fillets in a warm oven until all are cooked.