In a bowl, cream sugar and shortening until light and fluffy.
Add egg, milk and vanilla; mix well.
Combine dry ingredients; add to creamed mixture and beat well. Chill.
Meanwhile, for filling, combine sugar and cornstarch in a saucepan.
Add water; stir until smooth.
Add raisins; cook and stir until mixture comes to a boil and is thickened, about 3 minutes. Set aside to cool.
Divide chilled dough into thirds. On a lightly floured surface, roll one portion to 1/8-in. thickness.
Cut into 3-in. circles. Using a thimble, cut small holes in the center of half of the circles.
Place 1 teaspoon filling on solid circles; top each with a circle that has a hole. Pinch edges together to seal. Repeat with remaining dough and filling.
Place on ungreased baking sheets; bake at 375° for 15-17 minutes or until lightly browned.