In a mixing bowl, mix together milk, shortening, sugar and salt.
Add half of the flour and the bloomed yeast and mix for 3-5 minutes at medium speed until a paste-like consistency is achieved.
Add the egg yolks and the rest of flour and mix for another 3 minutes. Add more flour if the mixture is too liquid or too sticky but not too much.The dough is supposed to be sticky.
Scrape the sides while folding the dough in the middle of the bowl and then cover with kitchen towel. Let it rest and rise in a warm place for 2-3 hours or until it doubled its size.
Scrape the sides of the bowl while tipping the sticky dough over to the thinly floured working surface.
Roll the dough into a log and cut into 2. Roll each log again and cut into 2. Repeat this process until you end up with 16 slices.
Using a rolling pin, roll a slice into a rectangle (about 8x4 inch) and brush the surface with softened butter. Roll it from one end of the long side to the other end, creating a long, thin log then shape it into a coil (spiral) with the end tucked under.
Place each coiled dough in a greased mold and let it rest in a warm place for about 30 minutes to 1 hour until it has risen to almost double its size.
Bake them in a preheated oven at 300°F /150°C for 20-25 minutes. Once baked let them cool down for a few minutes before removing from molds.Then let them cool completely.
Meanwhile, prepare the buttercream by creaming ½ cup of softened butter and ½ cup powdered sugar.
Using a knife or spoon, cover the top of the ensaymadas with buttercream and lastly with a generous amount of grated cheese.