Heat oven to 375°F (if using dark or nonstick cookie sheet, heat oven to 350°F). In medium bowl, soak pecans in water while making dough; drain well.
In medium bowl, beat sugar, butter, vanilla and egg with electric mixer on medium speed until light and fluffy. On low speed, beat in flour and cocoa until dough forms.
On ungreased cookie sheets, for each cookie, arrange 5 pecans to look like head and legs of a turtle. Shape dough by rounded teaspoonfuls into 1-inch balls. Place 1 ball on top of each group of 5 pecans, pressing lightly into pecans with palm of hand.
Bake 7 to 10 minutes or until set. Immediately press 1 caramel gently onto top of each cookie; let stand 5 minutes to soften caramel. Use small spatula to flatten candy slightly. Remove cookies from cookie sheets to cooling racks.