01 - Preheat oven to 350°F. Line baking sheets with parchment paper.
02 - Beat unsalted butter, granulated sugar, and brown sugar together in a large bowl until pale and fluffy.
03 - Add egg and vanilla extract to the mixture, beating until fully combined.
04 - Whisk together flour and sea salt in a separate bowl, then gradually add to the wet mixture just until combined.
05 - Form dough into 1-inch balls. Roll each ball in chopped pecans, pressing gently to adhere.
06 - Arrange balls onto prepared baking sheets. Use your thumb or a small spoon to make a deep indentation in the center of each.
07 - Bake cookies for 12 to 15 minutes or until edges are golden and centers are set. Let cool on trays for five minutes before transferring to a wire rack.
08 - Melt caramel candies with heavy cream in a small saucepan over low heat, stirring constantly until smooth.
09 - Spoon or pipe a small amount of warm caramel mixture into each well of the cooled cookies.