Preheat the oven to 375 degrees F. In a large bowl, cream the butter and sugar. Add the vanilla. In a separate bowl, combine the oats, flour, and cocoa. Add to the butter mixture. Stir in the pecans. Turn the dough out onto a floured surface and pat to a ⅛-inch thickness. Cut with a 1-inch round cookie cutter. (If you don’t have one this size, use a well-floured bottle cap.) Place on ungreased cookie sheets. Bake for 10 to 12 minutes. Remove from the sheets and cool on wire racks.
While the cookies are cooling, in a medium-size saucepan, melt the caramels with the milk. Stir until smooth. Place about ½ teaspoon caramel on top of one cookie and top with another cookie. (If the caramel runs off the cookie, wait a couple of minutes for it to thicken.) Chill for about 15 minutes to set the caramel.
Melt the milk chocolate chips in the microwave or the top of a double boiler until smooth. If you’re using the microwave, place the chocolate in a shallow bowl, heat for 1 minute, stir, heat for 30 seconds more, and stir. The chocolate will be more melted than it looks; don’t burn it! Remove the cookies from the refrigerator and dip each cookie in melted chocolate. Place on wax paper to cool.
Melt the white chocolate chips in the microwave for 45 seconds or the top of a double boiler. Drizzle each cookie with a light band of white chocolate.