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1. Separate egg; place yolk and white in separate bowls. Cover and chill egg white until needed. In a large mixing bowl beat butter with an electric mixer on medium to high speed for 30 seconds. Add sugar. Beat until combined, scraping sides of bowl occasionally. Beat in egg yolk, milk, and vanilla.
2. In a small bowl stir together flour, cocoa powder, and salt. Add flour mixture to butter mixture and beat until combined. Cover and chill about 2 hours or until dough is easy to handle.
3. Preheat oven to 350 degrees F. Lightly grease a cookie sheet; set aside. In a small saucepan cook and stir caramels and whipping cream over low heat until mixture is smooth; set aside.
4. Lightly beat the reserved egg white. Shape dough into 1-inch balls. Roll balls in egg white, then in pecans to coat. Place balls 1 inch apart on the prepared cookie sheet. Press your thumb into the center of each ball.
5. Bake about 10 minutes or until edges are firm. If cookie centers puff during baking, re-press with the back of a small spoon. Spoon melted caramel mixture into indentations of cookies. (If necessary, reheat caramel mixture to keep it spooning consistency.) Transfer cookies to a wire rack; cool.
6. If desired, in another small saucepan cook and stir chocolate and shortening over low heat until melted. Cool slightly. Drizzle melted chocolate over tops of cookies.** Let stand until chocolate is set.