According to AllRecipes.com, make lady locks by combining 1 cup of butter, 1 cup of margarine, 1 pound of creamed cottage cheese, 1/2 teaspoon of salt and 4 cups of flour. Refrigerate overnight, and then roll the dough until it is 1/8 inch thick. Cut the dough into 8-inch strips, and then roll it over tubes and bake at 375 degrees Fahrenheit until brown.
For a lady locks recipe from Cooks.com, combine 3 cups of flour and 2 tablespoons of sugar in a bowl. Add 1/2 cup of Crisco, two egg yolks and 1 1/4 cups of water to the bowl. Mix, wrap, and then refrigerate for one hour. After one hour, remove the dough from the refrigerator, spread 1/2 cup of Crisco on the dough, roll into thirds and return it to the refrigerator. Repeat three times, and then refrigerate overnight.
Roll out the dough one quarter at a time, and cut each quarter into 25 strips. Wind each strip over a clothespin to get the signature lady lock shape, place on cookie sheets and bake in the oven at 350 degrees Fahrenheit for 10 minutes.
Make the filling by cooking 1 cup of milk and 4 tablespoons of flour until thick and letting the mixture cool. In another bowl, beat 1 cup of shortening and 2 cups of confectioner's sugar until fluffy. Add 6 tablespoons of marshmallow cream, 2 teaspoons of vanilla extract and the cold milk mixture. Use pastry filling tubes to fill the cookies, and dust with powdered sugar.