Step 1: Prepare your ingredients. Gather all your ingredients and measure out the vegetable oil, all-purpose flour, salt, baking soda, milk, and egg yolk.
Step 2: Mix dry ingredients. In a large mixing bowl, whisk together the all-purpose flour, salt, and baking soda.
Step 3: Combine wet ingredients. In a separate bowl, mix the vegetable oil and milk until well combined. Gradually pour this mixture into the dry ingredients, stirring to form a soft dough.
Step 4: Knead the dough. Turn the dough out onto a floured surface and knead gently for about 1-2 minutes.
Step 5: Chill the dough. Wrap the dough in plastic wrap and place it in the refrigerator for about 30 minutes.
Step 6: Roll out the dough. Once chilled, remove the dough from the refrigerator and divide it into smaller portions. Roll each portion out on a floured surface to about 1/8 inch thick.
Step 7: Fill your empanadas. Place your desired filling in the center of each dough circle.
Step 8: Seal the empanadas. Fold the dough over the filling to create a half-moon shape and crimp the edges.
Step 9: Brush with egg yolk. Preheat your oven to 375°F (190°C). Brush the tops with the whisked egg yolk.
Step 10: Bake. Bake the empanadas for 20-25 minutes, or until golden brown and crispy.