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Cut the chorizo lengthwise into quarters then cut each piece crosswise into 36 small triangles.
Make a small incision in each cocktail bocconcini and insert a piece of chorizo.
In a small bowl, combine the flour, chili powder, salt and pepper. In a separate bowl, beat the eggs with the milk. Place the bread crumbs on a plate.
In a large saucepan, heat the oil to 365°F (190°C). Working in batches, roll 1/4 of the stuffed cocktail bocconcini cheese in the flour, dip them in the egg mixture, then roll in the bread crumbs. Fry the bocconcini for a minute or so, until golden brown. Drain on paper towels. Repeat with the remaining ingredients.
