Place milk, sugar, and shortening in saucepan. Scald milk. Remove from heat, add salt, and cool to lukewarm. Dissolve yeast in two tablespoons warm water and add to mixture. Beat in flour and knead. Let rise to double bulk and knead again.
Break dough into balls the size of a large marble. Dip into melted butter; then roll in sugar and cinnamon mixture and then in pecans.