The trick to stuffing the caramel candy inside is to make sure the dough completely envelops it; otherwise you’ll have a leaking caramel mess on your cookie sheets!
Whisk the flour, cocoa powder, baking soda, and salt together in a large bowl. Set aside.
Using a hand or stand mixer fitted with a paddle attachment, beat the butter, brown sugar, and granulated sugar together in a large bowl on medium speed until creamed, 2 to 3 minutes. Beat in the egg and vanilla extract. Scrape down the sides of the bowl as needed.
Slowly add the dry ingredients into the wet ingredients, and use a mixer on low speed until combined. Add the milk. With a large spoon or rubber spatula, fold the chocolate chips into the dough. The dough will be heavy and sticky. Cover and chill for at least 1 to 2 hours.
Take the dough out of the refrigerator and allow it to soften slightly at room temperature for 10 minutes.
Preheat the oven to 350 degrees F. Line two large cookie sheets with parchment paper or silicone baking mats.
Take 2 tablespoons of chilled dough, split it in half and roll each piece into a ball with your hands. Stick a caramel into 1 ball of dough. Top the caramel with the other ball of dough and seal down the sides so that the caramel is securely stuffed inside. Repeat with the rest of the dough and caramel candies. Place the balls 3 inch apart onto each cookie sheet. Sprinkle each with sea salt before putting into the oven.
Bake each batch for 12 to 13 minutes. The cookies will appear undone and very soft. Cool on the cookie sheet for at least 5 minutes before transferring to a wire rack to cool completely. The cookies will stay fresh in an airtight container at room temperature for up to 7 days.