In a small saucepan heat the milk over medium high heat until it just starts to bubble around the sides of the pan. Turn it off and set aside.In the bowl of your stand mixer, fitted with the paddle attachment, add the cheese, sugar, shortening, salt and milk. Beat slowly until the cheese is melted. Let cool till lukewarm.Meanwhile in a small bowl combine the yeast and warm water. Let sit until the yeast has softened, and began to foam up a bit.In the bowl with the cheese mixture, remove the paddle attachment and replace with your dough hook. Once the mixture is lukewarm add two cups of the flour. Beat 2 minutes at medium speed.Add egg, yeast, corn meal and remaining flour. Beat for an additional two minutes.Cover and let rise in warm place until the dough doubles in size, about 1¼ hours.Punch down the dough, break into 24 equal size balls and place into lightly greased muffin tins. Cover and let rise till doubled in size, about 45 minutes.Preheat oven to 375 degrees F.Bake for 15-20 minutes, or until light and golden brown on top.Remove from oven and let cool for 5 minutes. Enjoy immediately.