Preheat oven to 350°. Grease a 13 x 9 x 2-inch baking pan.
In a medium bowl, mix dry cake mix, nuts, butter and milk until blended. Spread 2 cups of the dough in pan.
Bake for 6 minutes. Sprinkle caramel pieces over baked layer. Make balls with remaining dough, using about 1 1/2 teaspoons for each. Flatten balls and place on top of caramels, covering surface as much as possible. Bake 15 minutes longer (do not overbake). Cool on a wire rack at least 15 minutes before cutting into squares. Once completely cooled, cover and store at room temperature.