In a microwave, melt 1-1/2 cups baking chips; stir until smooth. In a small bowl, cream butter and cream cheese until smooth. Add rum and vanilla. Beat in melted chips. Refrigerate, covered, 1 hour or until set., Shape mixture into 1-in. balls; place on a waxed paper-lined baking sheet. Refrigerate 2 hours or until firm and slightly dry to the touch., In a microwave, melt shortening and remaining baking chips; stir until smooth. Dip balls in mixture; allow excess to drip off. Return to baking sheet; if desired, sprinkle with nutmeg., Refrigerate 2 hours or until set. Store between layers of waxed paper in an airtight container in the refrigerator.