Lady Locks

Directions

1. In the bowl of a stand mixer fitted with the paddle attachment, combine flour, sugar and salt on low speed; add butter. Mix until coarse crumbs form, about 1 minute. With the mixer running on low, gradually add cold water. Mix until the dough begins to clump together.
2. Transfer to a floured surface; shape into an 8x7-in. rectangle. Wrap tightly; refrigerate until firm, 1-2 hours.
3. For the butter block, beat butter and flour in a mixing bowl until smooth. Roll butter between 2 sheets of waxed paper into an 8x7-in. rectangle. Wrap tightly; refrigerate until firm, 1-2 hours.
4. On a lightly floured surface, roll the chilled dough into an 18x9-in. rectangle. Wipe off excess flour. Place the butter block in the center of the dough. Fold over short edges of pastry so edges meet. Pinch seams to seal, fully enclosing butter.
5. Rotate the dough enclosure 90°. Roll the dough into an 18x10-in. rectangle. Fold top third down and bottom third up over the top. Rotate the block 90° and roll and tri-fold once more. Wrap and refrigerate for 1 hour.
6. Remove dough from refrigerator. Roll the dough into an 18x10-in. rectangle. Fold top third down and bottom third up over the top. Rotate 90° and roll and tri-fold once more. Wrap and refrigerate for 1 hour.
7. For the last turn, remove dough from refrigerator. Roll the dough into an 18x10-in. rectangle. Fold top third down and bottom third up over the top. Rotate 90° and roll and tri-fold once more. Wrap and refrigerate 4 hours or overnight before using.
8. For filling, in a small saucepan, combine flour and salt. Gradually whisk in milk until smooth; cook and stir over medium-high heat until thickened, 5-7 minutes. Remove from heat. Cover and refrigerate until completely cool.
9. In a bowl, cream the shortening, butter, sugar, confectioners' sugar, and vanilla until light and fluffy, 3-4 minutes. Add milk mixture; beat until fluffy, about 7 minutes. Set aside.
10. Preheat oven to 400°. Wrap 24 peg-shaped wooden clothespins in aluminum foil, making sure to pinch both ends closed.
11. Remove dough from refrigerator. On a cutting board or pastry mat, sprinkle 1/3 cup flour and 2/3 cup sugar onto surface. Roll dough out to a 1/4-in.-thick rectangle. Cut into 3 pieces. (Refrigerate dough pieces while working with one.)
12. Cut dough into six 1/2-in.-wide strips. Starting at the bottom of a clothespin, wrap a dough strip around until pin is completely wrapped in dough. Pinch end to seal. Repeat with remaining pins and dough; freeze 15 minutes. Bake until golden brown, 18-20 minutes. Cool slightly before removing from pins, then cool completely.
13. Using a pastry bag with a star tip, pipe filling into cooled cookie shells. Dust with confectioners' sugar before serving.