Clothespin Cookies

You will need the old-fashioned one-piece wooden clothespins to make this recipe.

Cookies
1 pound shortening, divided
3 cups all-purpose flour
2 tablespoons granulated sugar
2 egg yolks
1 1/4 cups water

Filling
1 cup milk
4 tablespoons all-purpose flour
1/2 pound butter
2 cups confectioners' sugar
6 tablespoons Marshmallow Cr