Preheat oven to 350F. Beat cream cheese, sugar and vanilla in large bowl with electric mixer on medium speed until well blended.
Add eggs; mix just until blended.
Melt caramels with milk in small saucepan on low heat, stirring frequently until caramels are completely melted. Stir in pecans.
Pour into crust; cover with cream cheese batter.
Bake 40 minutes or until center is almost set. Cool. Refrigerate 3 hours or overnight.
Let cheesecake stand at room temperature for at least 30 minutes before slicing to allow caramel layer to soften. Store leftover cheesecake in refrigerator.