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In a large bowl, dissolve yeast in warm water. Add the milk, shortening, sugar, salt, egg and 2 cups flour. Beat on medium speed for 2 minutes. Stir in enough remaining flour to form a soft dough (do not knead). Place in a greased bowl, turning once to grease the top. Cover and refrigerate overnight. Punch dough down. Turn onto a lightly floured surface; divide into 12 pieces. Shape each into a ball. Place 2 inches apart on greased baked sheets. Cover and let rise in a warm place until doubled, about 1 ½ hours. Bake at 400 degrees for 15-20 minutes or until golden brown. Remove from pans to wire racks.
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