With a sharp knife, cut pretzel rods in half; set aside. In a large saucepan over low heat, melt caramels with milk. In a large shallow bowl, combine the chips, toffee bits and walnuts.
Pour caramel mixture into a 2 cup glass measuring cup. Dip the cut end of each pretzel piece two-thirds of the way into the caramel mixture (reheat in microwave if mixture becomes too thick for dipping). Allow excess caramel to drip off, then roll pretzels in the chip mixture. Place on waxed paper until set. Store in an airtight container.