In a mixing bowl, combine shortening, margarine, Splenda Sweetener, egg, and molasses. Beat until smooth.
Sift dry ingredients together and add to shortening mixture. Mix thoroughly.
Wrap dough in plastic wrap and refrigerate until firm, about 2 hours.
Preheat oven to 350°F.
Form dough into 30 balls, approximately 1 tablespoon each. Place cookies on ungreased baking sheet and press with a fork to make a crosshatch pattern.
Bake for 10–12 minutes. Cool slightly, then transfer to a wire rack to cool completely. Cookies will be chewy when they come out but will become crisp as they cool.