- In food processor, combine flour, salt and sugar.
- Add shortening and pulse on/off until mixture resembles cornmeal.
- Add egg and water and pulse just until dough comes together in a ball.
- Dough should be pliable; if necessary, add 1 teaspoon or so more water.
- On lightly floured surface, roll out dough ⅛ inch thick.
- Using a 3-inch round cookie cutter, cut out dough.
- Gather up scraps into a ball, roll out and cut, until all dough is used.
- Lightly brush top of each circle with water.
- Place spoonful of diced cheese in center and fold circle to form half moon.
- Seal edges by pleating with fingertips or pinching with fork.
- Just before serving, pour oil to depth of 1 inch in heavy skillet or electric frying pan and heat to 350°F.
- Working in batches, fry empanadas, turning with slotted spoon, until golden brown on both sides, about 2 minutes.
- Drain empanadas on paper towels and serve.