MIX first 4 ingredients. Beat shortening and sugar in large bowl with mixer until light and fluffy. Blend in 2 eggs. Gradually add flour mixture, beating on low speed after each addition until well blended. Refrigerate 2 hours.
HEAT oven to 350ºF. Beat remaining egg and water with fork until well blended. Shape dough into 48 (1-inch) balls; place, 2 inches apart, on parchment-covered baking sheets. Press nut into top of each ball; brush with egg.
BAKE 12 to 14 min. or until golden brown. Cool on baking sheets 3 min. Remove to wire racks; cool completely.