In heavy saucepan, combine sugar, corn syrup and butter. Bring just to a boil over medium heat, stirring constantly. Continue boiling, without stirring, at a moderate-steady rate for 4 minutes. Remove from the heat; stir in milk. Return to the heat. Reduce to medium-low; cook and stir until a candy thermometer reads 245 (firm ball stage). Keep warm.
Pour 1 cup caramel into a 1 cup glass measuring cup. Quickly dip each pretzel halfway into caramel. Allow excess to drip off. Place on waxed paper lined baking sheets; let stand until hardened.
In a microwave-safe bowl or measuring cup, melt white candy coating. Dip half of the caramel-coated pretzels into coating. Melt milk chocolate coating; dip remaining pretzels.
Drizzle white coated pretzels with milk chocolate coating; drizzle milk chocolate coated pretzels with white coating. Sprinkle with walnuts if desired. Store in an airtight container.