Heat oven to 375º F.
Combine peanut butter, shortening, butter or margarine, brown sugar, and vanilla in a large bowl.
Beat at medium speed until well blended.
Add egg and milk, and mix.
In a separate bowl, combine flour, salt, and baking soda. Add dry mixture to wet mix. Mix until just blended.
Roll dough into 1″-2″ balls or drop by heaping teaspoons 2 inches apart on an ungreased baking sheet, then flatten in a criss-cross pattern with fork dipped in water.
Bake for 8-10 minutes or until set and just starting to brown. Cool for 5 minutes before removing from pan.
