Heat oven to 350°F. Lightly grease cookie sheet with shortening or spray with cooking spray.
In large bowl, beat sugars and butter with electric mixer on medium speed until creamy. Beat in peanut butter, vanilla and egg. Stir in flour, cocoa, baking soda and salt. Stir in candies. Drop dough by heaping tablespoonfuls onto cookie sheet.
Bake 8 to 12 minutes or until edges are set (centers will be soft). Cool 1 minute; remove from cookie sheet to cooling rack. Cool completely, about 30 minutes.