Preheat the oven to 425°F or 220°C.
In a medium bowl, combine flour, baking powder, sugar, salt, nutmeg and mix together with a whisk. Set aside.
Add the frozen butter pieces to the flour mixture. Cut the frozen butter into the flour mixture with a pastry blender to form a course crumbs. Or grate the frozen butter with a box grater and add it to the flour mixture and mix together. There should be peas size pieces of butter in the mixture.
Add the cold milk and mix with fork or spatula until combined. Form the dough into a ball.
Turn the biscuit dough unto floured board and gently work the dough with your hands or bowl scraper. The dough will be sticky so flour your hands well. Pat the dough down into rectangle and gently fold one side into the center and then the other side onto it just like a folded letter. Then press all the layers together into a rectangle again. Repeat this process about 6 times but do not overwork the biscuit dough.
Finally, use your hands or rolling pin to flatten the dough into 1" thick rectangle and cut with floured 2" round cutter. Place the cut biscuits on the prepared pan and gather the remaining dough and rework it to cut as many biscuits as possible.
Brush the top of the biscuit with milk and bake for 10-12 minutes or until golden brown on top.
Remove from the oven, serve warm and enjoy. Remaining biscuits can be covered in a container and store at room temperature or in a refrigerator for 3 days.