How to Make It
In a food processor, pulse the flour, cocoa and salt. Add the butter and process until sandy, about 3 minutes. Add the confectioners' sugar, milk and vanilla extract and process until a firm dough forms. Transfer the dough to 2 sheets of plastic wrap and form into two 7-inch logs, about 1 1/2 inches thick. Wrap in plastic and refrigerate until very firm, at least 4 hours or overnight.
Preheat the oven to 350° and position racks in the upper and lower thirds. Line 2 large baking sheets with parchment paper. Beat the egg white in a small bowl. Sprinkle the granulated sugar in a 7-inch square on a sheet of wax paper. Brush the logs with the egg white and roll in the sugar, pressing to help it adhere. Cut the logs into 1/4-inch slices and transfer to the baking sheets, about 1/2 inch apart. Bake the cookies for about 20 minutes, until just firm to the touch; shift the sheets from top to bottom and front to back halfway through for even baking. Transfer the baking sheets to racks to cool.