In the bowl of a stand mixer, mix the lard and molasses, 30 seconds. Add the sugar, egg, anise oil, sour milk, and mix well, 1 minute. Add baking soda and flour and mix until only a few streaks of flour remain, 1 minute.
Shape into cylindrical rolls approximately ½-inch to ¾-inch in diameter. Chill overnight and cut into ¼-inch pieces.
Preheat oven to 350°F. Place on a parchment-lined baking sheet and bake for 10-12 minutes. Remove from oven and let cool on pan for 5 minutes. Using a spatula, scrape the peppernuts into an airtight container. Store for up to three months in the freezer.