Preheat oven to 350 degrees F. Beat butter and sugar in large bowl with electric mixer on medium speed until light and fluffy. Add chocolate, egg and vanilla; mix well. Add flour; beat until well blended. Cover. Refrigerate 1 hour or until well chilled.
Shape dough into 1-inch balls. Roll in pecans; press pecans gently into dough to secure. Place, 1 inch apart, on ungreased baking sheets. Make indentation in center of each ball with your thumb.
Bake 12 to 14 min. or until lightly browned. Remove from baking sheets to wire racks; cool completely.
Microwave caramels and milk in microwaveable bowl on HIGH 1 min. or until caramels are completely melted, stirring after 30 sec. Spoon evenly into centers of cookies; cool until set.