Remove wrappers from candies. Place in freezer several hours or overnight.
Beat butter, sugar and vanilla in large bowl until well blended. Add flour and pecans; beat on low speed of mixer until well blended. Cover; refrigerate 1 to 2 hours or until dough is firm enough to handle.
Heat oven to 350°F. Roll dough into 36 balls (about 1 tablespoon dough for each ball). Place on ungreased cookie sheet.
Bake 10 to 12 minutes or until cookies are set but not browned. Cool 4 minutes; press frozen candy into center of each cookie; cookie will crack around edges. Remove from cookie sheet to wire rack; cool completely.