In a small skillet, toast the sesame seeds over a low flame for 2-3 minutes, shaking the pan and stirring continuously to keep the seeds from burning.
Using a mortar and pestle or a small food processor, grind the sesame seeds and nuts to a fine, sandy texture.
Mix ground nuts with the sugar and the vegetable shortening, using your fingers if necessary to make sure the shortening is equally distributed. Mix in 2 tablespoons of water to make the mixture moist enough to form small balls.
Spread a ¼ inch layer of glutinous rice flour on a high-sided tray or a large flat-bottomed serving bowl. Roll the filling into little balls, each ¼ - ½ inches in diameter, and place them on the tray. When the filling is all used, shake and tip the tray so that the balls roll around on the tray and pick up a layer of the flour.
When the balls have accumulated so much flour that they're dry and won't take any more, remove them to a second tray and sprinkle them with water until thoroughly moistened. Spread more glutinous rice flour on the first tray, and return the dumplings to it. Repeat this rolling and moistening process until all of the rice flour is coating the dumplings. This could take as many as 10 cycles. (As the dumplings get larger with the added flour, you may also want to split them in half and use two trays of flour to give them enough room to roll around.)
To cook the dumplings, bring a large pot of water to boil over high heat and gently drop the dumplings in. Use a wooden spoon to gently nudge the dumplings and make sure they're not sticking to the bottom of the pot. When the dumplings float to the top of the water, add 1 cup of cold water (this will keep the skins from splitting), and cook for another three minutes. Remove from the pot with a slotted spoon and ladle a couple spoonfuls of the cooking water over them to keep them from sticking to each other.
To serve, place four or more dumplings into a small bowl for each person and add a couple spoonfuls of the cooking liquid.