Step 1: Mix thoroughly shortening, sugar, eggs and vanilla.
Step 2: Blend in flour, salt, and baking soda.
Step 3: Cover and chill 1 hr.
Step 4: Prepare filling by mixing sugar, and cornstarch in a medium saucepan. Gradually stir in orange juice, maraschino cherry juice, cherries and butter. Cook over medium heat, stirring constantly, until mixture thickens and boils. Boil and stir 1 minutes. Remove from heat and allow to cool.
Step 5: Heat oven to 400.
Step 6: Roll dough out to 1/16 inch thick on lightly floured surface and cut into 3-inch diameter circles.
Step 7: Place 1 teaspoon of filling in on one half of circle and fold dough over filling, pressing edges together to seal.
Step 8: Place 1 inch apart on ungreased baking sheet, brush with milk and sprinkle with sugar.
Step 9: Bake 8 to 10 minutes, or until very lightly browned.
Step 10: Immediately remove from baking sheet.
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