In a medium bowl, mix peanut butter, butter, vanilla, and sifted confectioners sugar with hands to form a smooth stiff dough.
Shape into balls using 2 teaspoons of dough for each ball. Place on prepared pan and refrigerate.
Melt shortening and chocolate together in a metal bowl over a pan of lightly simmering water.
Stir occasionally until smooth, and remove from heat.
Remove balls from refrigerator. Insert a wooden toothpick into a ball, and dip into melted chocolate. Return to wax paper, chocolate side down, and remove toothpick.
Wet fingers with water and smooth the toothpick hole until it is flat and no hole is visible.