Cream shortening, add sugar substitute and egg; beat well. In a separate bowl, combine dry ingredients, add the milk, vanilla, and water. Put in flour mixture and stir well.
Chill dough 2 to 4 hours.
Preheat oven to 325 degrees F (165 degrees C).
Roll out 1/8 inch thick and cut the cookies. Bake for 8 to 10 mins. Cool. Keep in air tight container.
