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 nine slices about one inch thick each. Place into a lightly greased 8×8 baking dish.
In medium sauce pot, 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 for 30-40 minutes, or until rolls are lightly browned on top.
Allow to sit for a few minutes once it is done for the rolls to soak up more sauce. After you put each roll on a plate, spoon more sauce over it.