CREAM CHEESE PINCHES

1 (8-oz) package cream cheese softened

1 egg, beaten

1/4 cup sugar

1/2 teaspoon vanilla extract

1 cup water

1/2 cup shortening

5 cups all-purpose flour, divided

1/2 cup sugar

1 package rapid rise yeast

1/4 teaspoon salt

3 eggs

melted butter or margarine

1 1/2 cup sifted powdered sugar

2 to 3 tablespoons milk

1/3 cup finely chopped pecans