Cream butter, sugar, egg and vanilla extract. Combine flour, baking powder, cinnamon, and nutmeg in a bowl; stir to combine. Sift flour mixture over butter mixture. Add vanilla extract and milk; stir until dough is smooth. Mix pecans into dough. Refrigerate dough for several hours to overnight.
Preheat oven to 350 degrees F (175 degrees C). Grease a cookie sheet.
Turn dough out onto floured work surface and knead until workable. Roll out into a sheet about 1/4 inch thick and cut into circles with a cookie cutter. Arrange cookies on a cookie sheet.