Preheat oven to 350°F. Line a 15x10x1-inch baking pan with foil; spread walnuts evenly in pan. Bake for 8 to 10 minutes or until lightly toasted.
Meanwhile in a small saucepan melt chocolate over low heat. Drizzle chocolate over warm walnuts; sprinkle with orange peel. Cool completely. Break into small pieces.
Wash and dry apples; remove stems, if desired. Insert a wooden skewer or popsicle stick into the stem end of each apple. Place apples on a buttered baking sheet.
In a small saucepan combine caramels and whipping cream. Cook and stir over medium-low heat until caramels are completely melted, stirring constantly. Working quickly, dip each apple into hot caramel mixture; turn to coat (If caramel become too thick to coat apples, reheat over low heat.) Dip coated apples in desired amount of nuts. Set on the buttered baking sheet and let stand until set. For best results, serve the same day*. Place remaining nut mixture in an airtight container. Store at room temperature for up to 2 weeks.
Place each apple in a bag; tie closed. Store in the refrigerator for up to 24 hours. Let stand at room temperature for 30 minutes before serving.