Combine first 3 ingredients in a heavy saucepan over low heat, stirring constantly, until smooth. Stir in pecan halves. Remove from heat; cool in pan 5 minutes.
Drop candy by tablespoonfuls onto a jelly-roll pan lined with lightly greased wax paper. Freeze 30 minutes.
Melt chocolates and shortening in a heavy saucepan over low heat, stirring until smooth. Dip caramel candies into chocolate mixture, 4 or 5 at a time, allowing excess chocolate to drip off; place on lightly greased wax paper. Quickly sprinkle tops with sea salt. Chill until firm.
Note: McCormick smoked flavor sea salt grinder is readily available and is what we first tested and tasted on this candy. Then we went online and found some other fine options.