In a bowl, combine flour, baking powder and salt. Cut in the shortening until mixture resembles coarse crumbs. Add milk all at once and stir just until moistened.
Turn onto well-floured surface and knead gently 8-10 times. Roll into a 12x11-in. rectangle. In a bowl, combine the ham, onion and mustard; sprinkle over dough. Beginning with a long side, roll-up jelly-roll style. Cut into 1-in. slices and place, cut side down, 2 in. apart on a greased baking sheet. Bake at 400° for 12-15 minutes or until golden brown.
For sauce, melt butter in a saucepan over medium heat. Stir in flour until smooth; gradually add milk. Cook and stir until thickened. Add steak sauce, mustard, salt, pepper and cheese. Stir until melted. Serve with roll-ups.
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