Trim the chicken legs by cutting through the skin and tendons to the bone, all around the top of the "ankle" end. Push back the skin to reveal the tendons. Pull them out as far as possible and cut off the ends that are sticking out. Remove the small bone that runs along the length of the chicken leg. Push the meat along the leg bone to the large end, into a nice ball. You can choose to remove the ankle joint with poultry shears if you like. I found having a pair of clean, needle-nose pliers helped with this process, which is called "frenching".
Once all of the legs have been frenched, heat your oil to 325F.
While the oil is heating, have your coating ingredients lined up in small bowls or mugs, in this order: milk, flour, egg, crumbs. Salt and baking powder should be added to the flour and mixed through with a fork at this point. If you are using crushed saltines, then do not salt the flour.
Dip each leg into milk, then flour. Shake the excess flour off. Dip into the beaten eggs, then into the crumbs to thoroughly coat each leg. Stand the legs on end, on a piece of parchment or waxed paper, until all are ready.
Check your oil and begin adding the legs. Let the froth of the oil subside before adding each leg, to prevent a dangerous boilover. Let fry until the last leg has reached an internal temperature of 180F or until the last leg has fried for 10 minutes.
Remove the legs from the fryer and stand them on end on a plate lined in paper towel.
Let the legs rest for 5 minutes. During this time, you can toast the sesame seed and make the sauce by mixing all of the sauce ingredients together. Begin with 1 tbsp of gochujang and add more to suit your taste, as it's a very pungent sauce.
Dip each leg in the sauce and sprinkle with sesame seeds to serve.