Unwrap caramels;combine caramels and milk in a heavy saucepan. Cook over low heat until melted, stirring frequently. Stir in pecans. Drop by rounded taspoons onto buttered wax paper. Cool; cover and chill.
Place candy coating in top of double boiler or heat proof dish; bring water to a boil. Reduce heat to low, and cook until coating melts. Dip caramel centers into coating. Place on wax paper to cool.