Using a handheld or stand mixer, beat confectioners sugar, peanut butter, butter, and vanilla extract in a large mixing bowl until well blended. The texture may be a little soft and crumbly.
Measure 1.5 tablespoons of the peanut butter mixture and roll it into a ball. Flatten the ball between your palms and use your fingers to narrow one end into an egg shape. Eggs should be roughly ¾ inch thick. Place eggs onto a wax paper-lined plate and freeze until firm, about 1 hour, up until one day.
When the eggs are ready, combine the chocolate and shortening in the top of a double boiler over simmering water. Melt over medium heat, stirring frequently until smooth, scraping down the sides with a rubber spatula to avoid scorching, until chocolate is melted, about 5 minutes. Allow warm chocolate to sit for 6-8 minutes and cool slightly before dipping.
(You can also use a microwave. Combine chocolate and oil into a liquid measuring cup and melt in 20-second increments, stirring afterward until smooth.)