You might want to try out a nylon nut milk bag. I recently bought 2 from Wholefoods a couple of days ago to strain my homemade nut milks on the advice of others, and oh my goodness- they work awesome at straining out even the finest particles easy-peasy. Before that, I was using butter muslin, which is a close relative of cheesecloth, but has a much finer weave to it, but the nut milk bags blow it out of the water like nobody's business. With the cloth, I needed to strain 2 or 3 times to get a smooth milk, but with the nut milk bag, I only need to strain once and it's much less messy. They even work better than those paint strainer bags that you can find at the hardware store. The nut milk bags were 10 bucks a pop, but they work much better than anything I've ever tried, and they look and feel like they'll last me for years. If I sound real enthusiastic about them, it's because I am. They are that awesome to me. I can't see why they wouldn't work to strain melted shea.
IrishLass
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Not sure the shea is going to be easy to get out of the Nut Milk Bag and may render it useless in a short time. Strainers can be bought anywhere including Wal Mart, Target, Kmart etc. I just mentioned the Asian store because the price was so cheap and the mesh was quite fine. Strainers are not always cheap. I have even found crickets in my lard from Smart & Final.