Mix together the sugar, shortening, baking powder and ground nutmeg. Beat the eggs and add to mixture.
Combine the milk and baking soda and pour into mixture.
Add the flour. You can start out with a good mixer at first but you'll need to switch to hand-mixing when dough gets too thick, adding enough flour so the dough is not too sticky and you can roll it out to about 1/4 inch or so.
Flour counter and rolling pin and top of dough. If it is very humid where you live it may help to refrigerate dough 15 minutes or so and you can also refrigerate the portion of the dough that you're not presently working with.
Roll out dough to 1/4 inch.
Cut out with any cookie cutter and place on cookie sheet.
Bake in a preheated 350 degrees F (175 degrees C) oven for about 8 minutes, or until ever so lightly browned around edges or on bottom.
Remove from sheets and cool on flattened grocery bags or wire racks.
