Preheat the oven to 325. Add the shortening and sugar to a bowl and mix for 2 minutes.
Add the egg, buttermilk, and vanilla and mix again. Add flour, soda, and salt. Start with 2 1/2 cups of flour. If your dough is really sticky, add 1 tbsp additions until it is no longer sticky. The dough will be very soft and barely not stick to your fingers.
Roll the dough on a lightly floured surface. Roll into a 12"x18" rectangle. Cut out 2"x3" cookies using a knife or pizza cutter. Using a knife, cut an hourglass shape into the middle of each cookie.
Unwrap hard candies and add to a Ziploc bag. Crush the candies using a rolling pin or something similar. Add a scoop of the crushed candies to the hourglass cutout of each cookie. The candies should fill the hole, but shouldn't overflow above the dough.
Bake the cookies for 8-11 minutes, until the cookies spring back. Let the cookies cool completely on the cookie sheet, and be careful to not touch the hot candy.
Once they are cooled, remove from the cookie sheet and enjoy!