In a small saucepan melt caramels with 4-6 tablespoons of heavy cream. Start with 4 tablespoons and add another 1-2 if needed. Slowly stir caramels until melted.
Insert lollipop or caramel apple stick into 3 large marshmallows. Begin melting chocolate over a double boiler or in microwave according to package directions.
Coat marshmallows with melted caramel and immediately roll in nuts. Allow cooling before dipping in chocolate.
Cover caramel marshmallows with chocolate; use a spoon to evenly coat marshmallows if needed. Refrigerate for 15 minutes to cool and allow the chocolate to set.