1. Heat oven to 375°F. Remove wrappers from chocolates.
2. Beat shortening and peanut butter in large bowl until well blended. Add 1/3 cup granulated sugar and brown sugar; beat until fluffy. Add egg, milk and vanilla; beat well. Stir together flour, baking soda and salt; gradually beat into peanut butter mixture.
3. Shape dough into 1-inch balls. Roll in granulated sugar; place on ungreased cookie sheet.
4. Bake 8 to 10 minutes or until lightly browned. Immediately press a chocolate into center of each cookie; cookie will crack around edges. Remove from cookie sheet to wire rack. Cool completely. About 4 dozen cookies.