Make a well with the flour, sugar, salt and baking powder.
Add the shortening and egg, mix well.
Add the water a little bit at a time until you have a soft dough. Knead for about 5 minutes, covered with a dampen cloth and let it rest for 1 hour.
Make a rope with the dough and divide it into 12 pieces. Make little balls, cover with a damped cloth, and let them rest for 15 minutes.
Roll the dough into an oval on a floured surface, add 1 to 2 Tablespoons of cheese (usually these empanadas don’t have much cheese. If they have too much, they don´t puff as much).
Seal empanadas, they'll look like half-moons. With your fingers, press the edges. Now, there are two ways to seal them: you can use a fork (but it doesn't look as nice) or you can seal them like the picture above (it´s very important to seal the edges very well, because the empanadas will open while frying and you'll have cheese everywhere).
Heat the oil to medium heat, and fry the empanadas. About 1 minute per side. Drain on paper towels. If desired, sprinkle powder sugar before serving.