In small mixer bowl, beat butter, sugar, egg yolk, milk and vanilla unti light and fluffy. Stir together flour, cocoa and salt; gradually add to butter mixture, beating until blended. Refrigerate dough at least 1 hour or until firm enough to handle. Heat oven to 350'F. Lightly grease cookie sheet. Shape dough into 1" balls. Beat egg white slightly. Dip each ball into egg white; roll in nuts. Place on prepared cookie sheet. Press thumb gently in center of each cookie. Bake 10-12 minutes or until set. Meanwhile, prepare VANILLA FILLING. Remove wrappers from chocolate pieces. Remove cookies from cookie sheet to wire rack; cool 5 minutes. Spoon about 1/4 teaspoon filling into each thumbprint. Gently press chocolate piece in center of each cookie. Cool completely. VANILLA FILLING: In small bowl, combine all ingredients; beat until smooth.