In a large mixing bowl, cream together softened butter, sugar, egg yolk (reserve the egg white for later), milk, and vanilla extract.
Sprinkle in flour and cocoa powder. Mix to form a dough. Cover and refrigerate for one hour.
Preheat oven to 350 degrees and line 2 baking sheets with parchment paper.
Whisk egg white in a bowl until frothy. Place chopped pecans in another bowl. Roll chilled dough into 1-inch balls, dip in egg whites, and then roll in pecans, coating evenly.
Place cookies about 2 inches apart on the baking sheets, then use your thumb to make an indentation in the center of each dough ball. Bake for 10-12 minutes, or until just set.
Meanwhile, microwave the caramels and cream together in a small bowl for one minute. Stir and return to the microwave in 20-30 second increments, until caramel is melted and smooth.
Once cookies are removed from the oven, gently re-press the indentations. Fill each indentation with the caramel mixture.
Let the cookies cool completely on the baking sheets. Microwave chocolate in a small bowl for one minute. Transfer to a ziploc bag and snip off one end. Drizzle the chocolate over each cookie, then let set before enjoying!