In a large mixing bowl combine 2 cups of the flour and the yeast; set aside. In a medium saucepan heat and stir milk, sugar, shortening, and salt just until warm (120 degree F to 130 degree F) and shortening is almost melted. Add milk mixture to flour mixture; add egg.
Beat with an electric mixer on low to medium speed for 30 seconds, scraping sides of bowl constantly. Beat on high speed for 3 minutes. Using a wooden spoon, stir in cheese, cornmeal, and the remaining flour. Spoon batter into a lightly greased bowl. Cover and let rise in a warm place until double in size (50 to 60 minutes).
Generously grease twenty-four 2-1/2-inch nonstick muffin cups. Stir dough down. Spoon into the prepared muffin cups, filling each about 3/4 full. Cover and let rise in a warm place until nearly double in size (30 to 40 minutes).
Bake in a 375 degree F oven for 15 to 20 minutes or until golden brown. Cool in pans on wire racks for 5 minutes. Remove from muffin cups. Serve warm or cool rolls on wire racks. Makes 24 rolls.