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In a medium bowl, beat butter with an electric mixer on medium to high for 30 seconds. Add sugar and salt; beat until combined. Beat in egg yolk, milk and vanilla until combined. In a small bowl, stir together flour and cocoa powder; beat into butter mixture until combined. Cover and chill for 1 hour.
Preheat oven to 350°F. Grease a cookie sheet; set aside. Shape dough into 1-inch balls. Dip in egg white; roll in hazelnuts. Place 1 inch apart on prepared cookie sheet. Make an indentation with your thumb in the center of each cookie. Bake for 10 to 12 minutes or until edges are firm.
While cookies bake, prepare caramel filling. In a small saucepan, combine caramels and whipping cream. Cook over low heat, stirring frequently, until caramels melt and the mixture is smooth. After removing cookies from the oven, press the center of the cookie again and fill with about 1 teaspoon filling. Transfer cookies to a wire rack; let cool.
In a small microwave-safe bowl, combine chocolate chips and shortening. Microwave on High for 30 to 45 seconds or until softened; stir until smooth. Place a small mound of chocolate on each cookie. Top with a hazelnut. Let stand until chocolate is set.