Preheat the oven to 350 degrees F. Grease a cookie sheet.
In a medium bowl, cream both sugars and the butter together with electric mixer until light and fluffy. Add the egg and vanilla and beat until just combined. Set aside.
Sift together the flour, baking soda and salt. Add the butter mixture and the flour mixture together. Mix until just combined; the batter should be stiff.
In another bowl, combine the chocolate chips and nuts. Add to the batter, stirring only to blend. Drop by heaping tablespoons onto the prepared cookie sheet 2 inches apart. Bake for 11 to 13 minutes. Cool on a wire rack.
Add the marshmallows to a skewers and toast over a flame until melted. Sandwich one piece of chocolate filled with caramel and a melted marshmallow between 2 warm cookies. Repeat.