In one of your mixing bowls, add milk and egg. Whisk to combine. In the other two, use one for flour and cayenne and the other for bread crumbs. Set aside.
Heat vegetable oil to 375F.
Slice onions 1/4 inch think and take apart.
Toss each piece first in the flour, then milk/egg, then bread crumbs. Make sure to fully coat each piece during each step. Set aside on a cutting board until oil is ready.
Put onion rings in your basket and put in the hot oil; bobbing the basket up and down a few times to avoid the oil bubbling too high. Cover with lid (if applicable) and fry for 3-4 mins. until golden brown.
Remove from oil and drain in basket. Transfer cooked onion rings to a strainer lined with paper towels.
Serve warm.
Notes
Don't throw away your oil after you are done! Let oil cool completely, strain and store in a container in the fridge. Oil can be reused 3-4 times.