1. Combine first 4 ingredients in a small, heavy saucepan over medium heat; bring to a boil, stirring until sugar dissolves. Cook 2 minutes without stirring. Remove from heat.
2. Place 4 cookies on a flat surface. Carefully spread 1/4 cup ice cream over flat side of each cookie. Top each with 1 tablespoon caramel sauce and another cookie. Top each sandwich with 1/2 teaspoon caramel sauce and 1 teaspoon nuts. Place cookies in an airtight container and freeze until firm (about 1 hour).