Preheat the oven to 375 degrees F (190 degrees C).

Combine shortening and sugars in a stand mixer fitted with the paddle attachment. Mix until creamy. Add egg, milk, and vanilla extract; beat until creamy.

Mix flour, salt, and baking soda together in another bowl. Add to the sugar mixture; blend thoroughly. Add chopped candies.

Drop spoonfuls of dough onto cookie sheets.

Bake in the preheated oven until edges are light golden brown, about 11 minutes.