Beat shortening and sugar together until creamy. Blend in eggs and vanilla. Sift together flour, soda and salt. Add to creamed mixture; blend well. Stir in oats. Chill dough several hours or overnight. Shape to form 1-inch balls.
Place on ungreased cookie sheets, about 2 inches apart. Bake in preheated moderate oven (375 F) 1 to 12 minutes.
Immediately place a small square of milk chocolate bar on each. Remove cookies from cookie sheets; press pecan half into chocolate