Whisk yeast and ¼ cup warm water (110°-115°) in a small bowl; let stand 5 minutes until foamy.

Heat milk in a small saucepan over medium until just warm. Combine shortening, sugar, and kosher salt in a large bowl. Add warm milk; whisk to blend, breaking up shortening into small clumps (it may not melt completely). Whisk in yeast mixture and egg. Add 3½ cups flour; stir vigorously with a wooden spoon until dough forms. Knead dough with lightly floured hands on a lightly floured work surface until smooth, 4–5 minutes. Transfer to a lightly oiled bowl; turn to coat. Cover loosely with plastic wrap. Let stand at room temperature until doubled, about 1½ hours.

Preheat oven to 350°. Melt butter in a small saucepan. Lightly brush 13x9" baking dish with some melted butter. Punch down dough; divide into 4 equal pieces. Working with 1 piece at a time, roll out on a lightly floured surface into a 12x6" rectangle.

Cut lengthwise into three 2"-wide strips; cut each crosswise into three 4x2" rectangles. Brush half of each (about 2x2") with melted butter; fold unbuttered side over, allowing a ¼-inch overhang. Place flat in 1 corner of dish, folded edge against short side of dish. Add remaining rolls, shingling to form 1 long row. Repeat with remaining dough for 4 rows. Brush with melted butter, loosely cover with plastic, and chill at least 30 minutes or up to 6 hours.

Bake rolls until golden and puffed, 25–35 minutes. Brush with butter; sprinkle sea salt over. Serve warm.

Editor's note: This recipe is adapted from “The Fannie Farmer Baking Book” by Marion Cunningham and was first printed in our November 2012 issue. Head this way for more of our best Thanksgiving recipes →