Sift flour, measure and resift 3 times with baking powder, salt and nutmeg.
Cream shortening, gradually add the sugar and continue to beat until light and fluffy.
Add egg and beat well.
Stir in one-third of flour, then add milk and remaining flour, beating thoroughly.
Do not add more flour.
This amount is just right to form a soft dough that is not sticky, but easily handled for rolling when the dough is thoroughly chilled.
Chill dough in refrigerator for several hours.
Roll to about 1/4-inch thick.
Cut with 2 or 3-inch cookie cutter.
Place on greased baking sheet and bake at 400° F. (moderately hot) for about 12 minutes, or until delicately browned.
Makes 3 dozen cookies, 3 inches in diameter.