Thaw phyllo according to pkg directions. Cut roll of dough in paper wrapper into fifths. Rewrap 4 pieces in damp towels. Unroll 1 piece of phyllo; discard paper. Cut in half crosswise. Brush 1 piece with melted butter. Top with second sheet; brush with butter. Repeat with third sheet. Fold sheets accordion-style into 3/4 inch folds. Pinch folds together at one end; spread folds apart at the other end, forming fan.

Place on ungreased baking sheet. Repeat with remainder of first phyllo portion. Bake, 6 at a time, in 375 degree oven about 5 minutes or till golden brown. Remove; cool. Repeat with remaining phyllo, 1 portion at a time, keeping phyllo wrapped till used.

Melt chocolate over low heat; stir in peel, shortening, and spices. Dip wide end of each fan about 1/4 inch into chocolate; dip into nuts. Place on rack to harden chocolate.