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In small saucepan combine milk, sugar, shortening, and salt; heat to lukewarm (110 degrees F to 115 degrees F). In large bowl dissolve yeast in warm water. Add egg and milk mixture. Gradually stir in enough flour to make a soft dough. Turn out onto lightly floured surface; knead gently 2 to 3 minutes to make a smooth ball. (Knead in just enough remaining flour so dough is no longer sticky.) Place in greased bowl, turning once to grease surface. Cover and refrigerate 8 to 24 hours.
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To shape rolls, roll or pat dough to a 10x8-inch rectangle about 3/4 inch thick. Cut in 2-1/2x1-inch strips. Lightly roll each strip and place in a greased 15x10x1-inch baking pan, leaving about 1/2 inch between each roll. Cover and let rise until nearly double in size (about 30 minutes).
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