Place the milk, molasses, butter and orange zest in a small pan and warm over a medium heat until the butter melts and everything is well combined. Remove from the heat and leave to cool to lukewarm.
If the anise seeds are not already ground, finely grind the seeds to a powder either in a spice grinder or with a pestle and mortar.
Place the rye flour, all purpose (plain) flour, yeast, salt and anise in a large bowl and stir or whisk together so that everything is well distributed.
Add the cooled milk mixture to the flour mixture and mix well - I generally start with a spatula then bring it all together by hand.
Lightly flour a clean surface and turn out the dough. Knead the dough for around 5 minutes until relatively smooth and no longer sticky. You can add a little flour as you go to help, but try not to add too much. It won't be quite as smooth as a pure what dough due to the rye.
Lightly oil a bowl then form the dough into a ball and place in the bowl. Cover with cling wrap/film and leave at warm room temperature for around 1 hour to double in size.
While the dough is rising, line a medium baking sheet/tray with parchment (half sheet pan size is fine). Once the dough has doubled, gently knock back the dough and form into a rounded log. I usually slightly flatten out the dough as I knock it back then roll it up and tuck in the top and bottom slightly.
Place the dough on the lined baking sheet and gently cover the dough with a damp cloth or loosely with cling wrap/film. Leave to rise for another hour. The dough should roughly double in size and become more "puffy" looking.
Towards the end of rising, pre-heat the oven to 350F/175C. Uncover the bread and, if you like, score the top a few times. Once the oven has heated, bake for approximately 35 - 40 minutes until the top is lightly browned and crisp. Tip the bread onto an oven glove and tap the bottom. It should sound slightly hollow - if not, put back on the parchment and bake for a couple more minutes. Once baked, remove the bread from the pan and allow to cool on a cooling rack at least 10 minutes before slicing.
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Notes
I highly recommend weighing ingredients, if at all possible, to be more accurate, particularly when baking things like bread.