In a large mixing bowl, whisk together 2 cups all-purpose flour, 1 teaspoon salt, and 1 teaspoon baking soda.
Add 1/4 cup vegetable oil and 1/2 cup milk to the dry ingredients. Mix until combined and a shaggy dough forms.
Turn the dough onto a lightly floured surface and knead gently for about 1 minute, until the dough is smooth and elastic. If the dough is too dry, add more milk one teaspoon at a time. If it is too sticky or shaggy, add more flour one tablespoon at a time.
Shape the dough into a ball, wrap it tightly in plastic wrap, and let it rest at room temperature for 1 hour.
After resting, unwrap the dough and divide it into 16 equal pieces. Roll each piece into a smooth ball.
Working with one ball at a time (keep the others covered to prevent drying), roll the ball out on a lightly floured surface to about 3/32" (≈2 mm) thick. Use a 3.5" diameter cutter (or a cup) to cut a round disc. Gather scraps, re-roll, and cut remaining discs until you have 16.
Place one disc on the work surface, put approximately 1 tablespoon of filling in the center, fold the disc in half to form a half-moon, and press the edges to seal. Crimp the edge with the tines of a fork to ensure a good seal.
Place each sealed empanada on a greased or lined baking tray, leaving space between them. Repeat with the remaining discs.
If you want decorations, use scraps of dough and cookie cutters to cut shapes. Brush the empanadas lightly with the whisked egg yolk, place the decorations on top, then brush the decorations with the egg yolk as well.
Preheat the oven to 450°F (235°C) while you finish shaping and brushing the empanadas.
Bake the empanadas in the preheated oven for 15–20 minutes, or until they are golden brown.
Remove the empanadas from the oven and cool on a wire rack for a couple of minutes before serving.