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1
Whisk the flour, cocoa powder and salt in a medium bowl. In the bowl of a stand mixer fitted with the paddle attachment, beat the butter and sugar on medium-high speed until light and fluffy, about 2 minutes. Add the egg yolk, milk and vanilla and mix until incorporated. With the mixer on low, add the dry ingredients and mix just until combined. Turn the dough out onto your work surface, shape into a disk, wrap in plastic and refrigerate until firm, about 1 hour.
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2
Preheat oven to 350 F, with racks in the top and bottom third. Line two baking sheets with parchment.
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3
In a small bowl, whisk the egg whites until frothy. Put the chopped pecans in a wide, shallow bowl and set aside.
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4
Remove the dough from the fridge. Break off 1-inch pieces and roll into balls. Dip the balls in the egg whites (coating on all sides), then roll them in the pecans. Transfer to the prepared baking sheets, spacing the balls about 2 inches apart. Using a 1/2 teaspoon measure, make an indentation in the center of each ball of dough.
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5
Bake the cookies until set, about 12 minutes, rotating the baking sheets halfway through the baking time. When the cookies emerge from the oven, use the 1/2 teaspoon measure to press the indentations down again (the cookies will likely puff a bit in the oven). Let the cookies rest on the baking sheets for about 5 minutes, then use a metal spatula to transfer them to a wire rack.
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6
Put the caramels and heavy cream in a microwave safe bowl. Heat in 30-second bursts, stirring in between, until completely melted and smooth. (I let the caramel mixture cool a bit so it wasn't piping hot when I filled the cookies but I don't know that it's necessary.) Fill each cookie center with about 1/2 teaspoon of the caramel mixture. Let the cookies cool completely and the centers set before serving.
