Partially thaw puff pastry. Cut into desired strips to make clothes pin cookies or cut into large strips for lady locks. Wrap around clothes pins or lady lock forms. Bake at 375 degrees for about 18 minutes. Remove from forms a few seconds after removing from oven.
Icing: Combine flour and milk. Heat until it thickens and not lumpy. Cool. Use a mixer. Mix sugar and Crisco until it looks like whipped cream. Add flour mixture and vanilla and beat until fluffy and creamy.