Heat oven to 350. Line an 8 inch square baking pan with double thickness of aluminum foil, extending foil over the edges. Spray foil with no-stick cooking spray.
Combine crust ingredients in small bowl. Press evenly onto bottom of prepared pan.
Combine caramels and milk in medium microwave-safe bowl. Microwave for 1 minute; stir. Continue microwaving 30 seconds; stir until smooth. Pour over crust in pan, leaving a little space so as not to touch the pan with the caramel (I found where it touches the pan, the caramel seems to get a little harder than I like). Sprinkle with pecans. Refrigerate while preparing cream cheese mixture.
Combine cream cheese and sugar in medium bowl until creamy. Add egg and vanilla, beating just until combined. Stir in sour cream. Pour over caramel mixture.
Bake for 35 - 40 lminutes or until just set (edges will come away from pan). Cool on wire cooling rack for about 1 hour. Loosely cover; refrigerate for at least 4 hours.
After refrigeration, use foil to lift cheesecake out of pan using foil ends. Cut into 36 squares.
Place wax paper over a cookie sheet. Combine chocolate chips and shortening in microwave safe bowl. Heat for 1 minute; stir. Heat for additional 30 seconds, stirring; repeat until mostly melted and chocolate is smooth.
Use fork to dip each square into the coating (I found a two fork method worked best), covering cheesecake bite completely. Allow excess chocolate to drip back into bowl. Place onto wax paper.
Let chocolate set up, about 20 minutes. (I placed the cookie sheet in the fridge to help this process along).