In a large mixing bowl, beat butter with an electric mixer for 30 seconds. Add sugar and beat well.
Separate egg, setting the egg white aside to use in step 4. Beat in egg yolk, milk and vanilla. In another bowl, stir together the flour, cocoa powder and salt. Add flour mixture to butter mixture and beat till well combined. Chill the cookie dough in plastic wrap for 2 hours or till easy to handle.
In a small saucepan, heat and stir caramels and whipping cream over low heat till mixture is smooth. Set aside.
Shape the dough into 1-inch balls. Slightly beat reserved white. Roll the balls in egg white, then in nuts to coat. Place 1 inch apart on a lightly greased cookie sheet. Using your thumb, make an indentation in center of each cookie.
Bake in a 350 degrees F oven about 10 minutes or till edges are firm. Spoon some melted caramel mixture into indentation of each cookie. Transfer cookies to wire rack to cool. (If necessary, reheat caramel mixture to keep it spoonable.)
In another saucepan, heat and stir chocolate pieces and shortening over low heat till chocolate is melted and mixture is smooth. Let cool slightly. Transfer the chocolate mixture to a self-sealing plastic bag. Close bag and cut a small hole in one corner of it. Drizzle cookies with chocolate mixture. Let stand till chocolate is set. Makes 36 cookies.