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Add shortening to a large mixing bowl; cream until fluffy.
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Gradually add in sugar, beating until light and fluffy.
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Add in egg and milk; beat well.
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In another smaller bowl, add flour, baking powder, cinnamon, nutmeg, and salt; stir to combine; add to batter; beat well.
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Stir in vanilla.
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Cover and chill dough for 1 hour.
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Roll dough out onto a lightly floured surface to 1/4 inch thickness.
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Cut out with cookie cutter (I dip the cutting edges of my cookie cutters in flour first).
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Place cut-out shapes on a lightly greased baking sheet.
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Bake at 375° for 6-8 minutes or until lightly browned.
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Cool on wire rack.
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Cooled cookies may be frosted if desired.