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Season the cornmeal with the cayenne, celery seed and some salt and pepper. Toast the buns in the oven or a hot dry skillet.
In a large skillet, heat the oil over medium-high heat. Remove the fish from the milk, and then dredge in the seasoned cornmeal, pressing down to ensure an even coating of breading. Shake off any excess cornmeal.
Pan-fry the fish until golden brown, turning once, about 2 minutes per side.
To assemble the sandwiches, place each piece of fish on a bun bottom. Top each with some slaw and 4 slices pickles, then finish with the top bun.
Enjoy the magic you just made.