PREHEAT oven to 350°F. Beat butter and sugar in large bowl with electric mixer on medium speed until light and fluffy. Blend in chocolate, egg yolk and vanilla. Add flour; mix well. Shape dough into ball; cover with plastic wrap. Refrigerate 20 minutes or until slightly firm.
ROLL dough into 24 balls, each about 1 inch in diameter. Dip each ball in lightly beaten egg white, then in pecans, turning to evenly coat each ball. Place, 2 inches apart, on ungreased baking sheets. Use your thumb or the end of a wooden spoon to make a deep indentation in the centre of each ball.
BAKE 10 to 12 minutes or until lightly browned. Remove cookies to wire racks to cool. Meanwhile, melt caramels and milk in microwaveable bowl on MEDIUM 1 minute or until caramels are completely melted when stirred. Fill centres of cookies evenly with the caramel mixture. Refrigerate until firm.