Heat the oil in a deep skillet or dutch oven. There should be at least 1-inch/2.5 cm in the pan. The oil is the right temperature if a little piece of dough immediately begins to sizzle when dropped in.
In large bowl, combine the flour and shortening. Mix until the mixture looks like fine meal. You can use a food processor too.
Gradually add the milk (you might not use all of it) until a soft, pliable dough forms. It'll be a bit sticky. If it's too sticky, add a teaspoon or two of additional flour. Form the dough into a ball; cover and let it rest for about 10 minutes.
Divide dough into 8 equal portions. This is easily done by flattening the ball slightly and cutting wedges, like a pie.
Form each wedge into a ball and roll out on a floured surface to a thin circle about 1/8-inch/0.7 cm. Carefully place the rolled dough into the hot oil. Fry for about 30 seconds then flip. With tongs, grab one end and fold over, forming a shell. Fry each side of the shell for 30 seconds or until golden brown. If you don't want to make shells, they can be left as disks, frying each side for 30 seconds. Repeat with the remaining dough. Drain on paper towels and set aside. See this video if you need help forming the shells.
Video link-- https://www.youtube.com/watch?v=XPEkWibcXKY - start at 5:13 for how to shape.