Add milk, flour, baking powder, salt, paprika, black pepper, cayenne pepper, and a beaten egg to a large bowl. Whisk all ingredients together until the batter is smooth and has the consistency of thin pancake batter.
Add frying oil to a tall sided skillet and heat to 400 degrees.
Working in batches as needed, dip cheese curds in the batter to fully coat, then let the excess batter drip off and put them in the hot oil.
Remove the fried cheese curds with a slotted spoon after frying one minute and they turn golden brown.
Set deep fried cheese curds on paper towels or wire rack to drain and cool slightly. Serve while still hot.