In a mixing bowl mix flour, salt, and baking soda. Add ¼ cup of oil and ¼ cup of milk. Mix until all the ingredients are well incorporated. Knead lightly until the dough is smooth and elastic (about a minute). If the dough is too dry add more milk by teaspoons. If the dough is too shaggy add more flour by the tablespoons. It's best if the dough is just a bit on the dry side. Wrap in plastic film and let it rest at room temperature for an hour
Remove dough from the film and divide the ball into halves, then again until you have 16 balls. Roll out a ball with a rolling pin until it is about 3/32" thick (about 2 mm). Add a tablespoon of the filling in the center and fold over. Cut into a half-disk (3.5" diameter) with a cup or whatever you have. Remove the excess dough. Press the edges with a fork and place it on a greased baking tray. Repeat with the rest of the dough.
What to do with the leftover dough? Use cookie cutters to cut leaves, flowers, or whatever is appropriate for the occasion. Place them on the empanada after you brush them with the egg, then brush the decoration with egg too. Also super helpful to cover small holes in the pasties if they occur during the process.
Brush the empanadas with the egg wash, and bake in preheated oven at 450 °F [235 °C] for 15-20 minutes, or until they are golden brown. Remove from the oven and cool for a couple of minutes on a wire rack.