In three shallow bowls, fill first with flour, the second with eggs and milk (beaten together), and in the third, bread crumbs.
Roll each cheese skewer in flour, tapping off excess flour, then dip in egg mixture, then roll in bread crumbs. Place on a plate. Repeat with remaining cheese ball skewers until all are coated.
In a large skillet or saucepan, heat oil to 350°F (use a candy or deep-fry thermometer to gauge temperature). Set a large plate topped with paper towels off to the side.
Lower cheese skewers into hot oil, keep separated while frying. Remove from oil after 1 minute or when golden brown. Place on paper towels to drain. Let oil return to 350°F before making next batch. Repeat until all cheese balls are fried.
Serve fried mozzarella balls with heated sauce for dipping.