Whisk together milk and hot sauce. Place catfish fillets in a single layer in a 13- x 9-inch baking dish; cover with milk mixture. Cover and chill 8 hours, turning once.
Combine cornmeal and next 5 ingredients in a shallow dish, and set aside.
Let catfish fillets stand at room temperature in milk mixture in baking dish 10 minutes. Remove fillets from milk mixture, allowing excess to drip off.
Dredge catfish fillets in cornmeal mixture, shaking off excess.
Pour oil to a depth of 1 1/2 inches into a large, deep cast-iron or heavy-duty skillet; heat to 360°. Fry fillets, in batches, 2 minutes on each side or until golden brown. Remove to a wire rack on a paper towel-lined jellyroll pan. Keep warm in a 225° oven until ready to serve.