Heat oven to 350°F. In medium saucepan, combine chocolate chips and margarine; cook and stir over very low heat until chips are melted and smooth. (Mixture will be stiff.) Add condensed milk; mix well.
Lightly spoon flour into measuring cup; level off. In large bowl, combine flour, nuts, chocolate mixture and vanilla; mix well. Shape 1 tablespoon dough (use measuring spoon) around each milk chocolate candy, covering completely. Place 1 inch apart on ungreased cookie sheets.
Bake at 350°F. for 6 to 8 minutes. DO NOT OVERBAKE. Cookies will be soft and appear shiny but will become firm as they cool. Remove from cookie sheets. Cool 15 minutes or until completely cooled.
Meanwhile, in small saucepan, combine baking bar and shortening; cook and stir over low heat until melted and smooth. Drizzle over cooled cookies. Let stand until set. Store in tightly covered container.