Sift flour with sugar. Cut in 1/2 c shortening with pastry blender or 2 knives until shortening is distributed and a crumbly mixture forms.
Beat egg yolks and water until slightly foamy. Blend into flour mixture and mix until a slightly sticky dough forms. Knead dough lightly in small amount of flour only until it is smooth. wrap in plastic wrap or wax paper and refrigerate 1 hour.
Roll dough to large rectangle, about 1/3 inch thick on lightly floured surface. Spread dough with 1/2 c shortening.
Fold dough in thirds, bring ends of rectangle toward center and overlapping. Wrap again - refrigerate 1 hour. Repeat rolling and spreading with shortening 2 more times, chilling dough 1 hour between each time.
Meanwhile, cover round wooden clothespins with aluminum foil.
Remove dough from refrigerator. Divide dough into 4 pieces. Work with one fourth of the dough at a time, keeping remainder in the refrigerator.
Roll dough into 1/8 inch thickness on floured surface. Cut into 1/2 by 6 inch strips. Wrap each strip loosely around a foil-covered clothespin, overlapping dough. (if rolled tightly, cookie will split when removed from the clothespin.
Pinch dough together at narrow end of clothespin. The ladylocks will be open at each end.
Place clothespin, loose end of dough on bottom, 2 inches apart on ungreased baking sheet. Bake in preheated 400º oven for 8 to 10 minutes, or until cookies are slightly brown on bottom. Remove from clothespin by pinching together separated end of clothespin and carefully pulling cookie off without crushing. Cool on wire rack. Fill each cookie with filling using a pastry tube.
Sprinkle with confectioner's sugar just before serving. Makes about 200 cookies.
Blend flour and milk in saucepan. Cook over low heat until thickend, stirring constantly. (We did this in the microwave at medium power. It took about 4 1/2 minutes, stirring every minute or so.) Remove from heat and cool completely.
Cream together 1/2 c butter and sugar. Add milk mixture and vanilla. Mix until smooth.