Cut shortening into flour really well with a fork. Stir in milk. On a floured surface, dump out dough and press together with your hands to form a ball. Roll out into a rectangle (about 7×10 in size). Spread softened butter over dough and then sprinkle 1/4 cup sugar and cinnamon over top. Roll it up like a jelly roll and press it together lightly. Cut into pinwheels.
Place pinwheels into a lightly greased 8×8 baking dish. In medium sauce pan, combine all milk sauce ingredients. Heat over medium heat, stirring constantly, until mixture begins to bubble lightly. Pour over rolls in pan. Bake at 350 degrees for 30-40 minutes, or until rolls are lightly browned on top.
Remove from oven and allow to sit for a few minutes for the rolls to soak up sauce. After you put each roll on a plate, spoon more sauce over it.