Put your oven on, at around 200 Degrees for a Fan Assisted oven, or 220 with no fan.
Throw your flour, caster sugar, baking powder & cubed butter into a mixer and set it on very low or fold, until it resembles breadcrumbs. If you don't have a mixer, just use your fingers to break the butter up and mix it with the dry ingredients.
Add the milk & vanilla essence, straight to the dry ingredients, then fold it in. The mix will seem sticky, but don't worry about it.
Put some self raising flour onto a board, chopping board, or table, and take the dough out of the mixer, form a loose ball, and gently roll it around on the flour, until the dough is no longer sticky.
All I did next, was to separate the mix into nine evenish pieces and form a ball shape, then slightly flatten it, before placing it onto a baking tray that I lined with baking paper and sprinkled with some more flour.
Use a fork to beat the egg, then use your fingers or a brush to coat the tops of the scones. Then, simply bake in the oven for 10 minutes.