In a medium sized sauce pan heat the oil over medium high heat. Place a couple of layers of paper towels on a plate and set aside.
While the oil is heating, in a shallow bowl combine the flour, cornstarch, salt, and cayenne pepper. In another shallow bowl combine the egg and milk.
When the oil is hot (you can test by coating one piece of calamari and dropping it into the oil; it should sizzle, and take about 1 to 2 minutes to brown completely), start taking a small handful of the squid and dropping them in the egg mixture, stirrying to coat. Lift them out, let the excess egg wash drip off, then transfer them to the bowl with the flour mixture. Toss to coat them completely, shake off any excess then sprinkle the pieces into the hot oil. Use a slotted spoon to move them around for 1 to 2 minutes, until they are golden brown and crispy. Remove them to the paper towel lined plate and let drain and cool slightly. Repeat with the remaining calamari.
Serve with marinara sauce and lemon wedges, if desired.