Combine dates, water, sugar and cook in saucepan until thick. Sift together flour, soda and salt. Add milk, egg and sugar, shortening and vanilla. Beat until smooth about 2 minutes. Lightly stir in rolled oats. Turn out half the dough on lightly floured board. Knead gently 2 or 3 times. Roll very thin, repeat with other half of dough. Cut, fill and bake at 375 degrees for 15 minutes.