Heat oven to 375°F. In large bowl, combine flour, 1/2 cup sugar, brown sugar, baking soda, salt, shortening, peanut butter, milk, vanilla and egg; mix with electric mixer on low speed until stiff dough forms.
Shape dough into 1-inch balls; roll in sugar. Place 2 inches apart on ungreased cookie sheets.
Bake at 375°F. for 10 to 12 minutes or until golden brown. Immediately top each cookie with 1 milk chocolate candy, pressing down firmly so cookie cracks around edge; remove from cookie sheets.