Cover 2 baking sheets with wax paper; place 12 wafers, 2 inches apart, on each prepared baking sheet. Set aside.
Combine granulated sugar, brown sugar, cream and water in 3-qt. saucepan; cook on medium heat until sugar is dissolved, stirring constantly. Cook, without stirring, until temperature reaches 235F (soft ball stage).
Add margarine. (Do not stir.) Cool 30 min. or until temperature of sugar mixture is reduced to 150F.
Add pecans and vanilla; beat with wooden spoon 2 to 3 min. until candy begins to thicken but is still glossy. Immediately spoon 1 tablespoonful of the sugar mixture over each wafer. (If mixture becomes stiff, stir in a few drops of water.) Cool completely until firm; peel from wax paper. Store in airtight container at room temperature.