In a medium bowl, cream together the shortening and sugar. Beat in the eggs and vanilla. stir in the self-rising flour to form a dough. On a lightly floured surface, roll the dough out to 1/4 inch in thickness. Cut into desired shapes with cookie cutters. Place cookies 1 1/2 inches apart onto the prepared cookie sheets.
Bake for 8 to 10 minutes in the preheated oven. Allow cookies to cool on baking sheet for 5 minutes before removing to a wire rack to cool completely.