Gently heat the milk until slightly warmer than room temperature. Mix in the yeast and let it sit. In a medium bowl, combine flour, salt, and baking powder. Add the shortening and blend until crumbly. Stir in egg yolks and yeast-milk mix. Knead the dough, then chill in the fridge overnight.
Preheat the oven to 350°F (175°C) for the perfect temperature.
Sprinkle confectioners' sugar on a clean surface. Knead the dough, then roll it out to 1/4 inch thickness. Use a cookie cutter to make circles. Add a teaspoon of jam in the middle of each circle, fold the dough, and seal using a fork.
Place in the preheated oven for 12 to 15 minutes until perfectly golden. Avoid storing in an airtight container to maintain crispiness.