Heat oven to 450°. Mix flours, cornmeal, baking powder and salt in large bowl. Cut in shortening, using pastry blender or crisscrossing 2 knives, until mixture looks like fine crumbs. Stir in oats. Stir in just enough milk so dough leaves side of bowl and forms a ball.
Place dough on lightly floured surface. Knead lightly 10 times. Roll or pat 1/2 inch thick. Cut with floured 2 1/2-inch round cutter. Place on ungreased cookie sheet about 1 inch apart for crusty sides, touching for soft sides. Brush with milk and sprinkle with oats if desired.
Bake 10 to 12 minutes or until golden brown. Immediately remove from cookie sheet. Serve warm.