Preheat krum kage iron (see note below) on stovetop burner over medium heat for about 10 minutes.
In a bowl, beat eggs well, add sugar, and continue beating. Add butter, milk, flour, and vanilla and blend thoroughly.
Brush both surfaces of krum kage iron with oil or butter and place a rounded tablespoon of batter on lower plate. Close iron and press handles together. Bake for about 30 seconds, flip over iron, and cook for about 30 seconds, or until light brown. Remove cookie from iron and roll onto cone form to shape. Set aside and repeat with remaining batter.