The correct option is letter "A": commas should be added after the words "flour and Shortening".
Combine flour, shortening, pecans and cold water to make a tasty pie crust.
We use commas to separate and enumerate elements in a serie of three or more items. However, it is unnecessary to use a comma before "and".
Option "B" may be justified by those people who prefer using a comma before the last item in a list. This is known as the Oxford Comma or Serial Comma in a written style. But, this is more frequent in American English rather than in British English.