Talk to your local meat locker that processes hogs. When we get ours done, I'll tell them I want everything but the squeal. This last time, we took in a boar that we waited a little to long to castrate. The butcher told me the meat tasted fine, but the fat was 'off'. Told them to pitch the fat on that one, but to save the lard off the sow we took in at the same time. When I get it home, I melt it on top of the woodstove, then add an equal amount of water and let it cook down a little. Take it to the garage to let it cool and the fat comes to the top. I scrape off the fat (the water and icky bits sink to the bottom). I repeat the process twice more, then melt it one last time. That time it gets run thru a coffee filter into a clean canning jar, closed with a lid, and put into the pantry. As it cools, it seals the jar.
I haven't bought shortening in years.