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> Does it have to be shortening? Cooking oil doesn't work?

Cooking oil may be preferable depending on the quality of the
shortening. I have used canola and peanut oils successfully in
seasoning cast iron. The process I follow is to first scrub the pan
well with hot water and soap to remove any food particles, grease,
etc. Then heat pan in oven (350 degrees F) to dry it well. Coat pan
inside and out with a thin layer of oil. Return pan to oven for an
hour. Let the pan cool. After using the pan for cooking, you should
NOT use soap to clean it. Just wipe it out with a wet rag and dry it
well. I also spread a thin layer of oil over the inside of the pan
before storing it.