Melt margarine in large skillet. Add coconut and chopped nuts. Cook until golden brown, stirring frequently. Set aside.
Combine cream cheese and condensed milk. Beat until smooth, fold in whipped topping. Layer quarter cream cheese mixture in each pie shell. Drizzle quarter of caramel topping on each pie. Sprinkle quarter of coconut mixture evenly over pie.
Repeat layers with remaining ingredients. Cover. Freeze until firm. Let stand at room temperature for 5 minutes before serving. Keep refrigerated. Pies can be kept in freezer for several days before using.