Whisk the flour, cocoa powder, baking soda, and salt together in a large bowl. Set aside.

Using a hand mixer or a stand mixer fitted with paddle attachment, cream the softened butter and both sugars together on medium speed until smooth, about 3 minutes. (Here’s a helpful tutorial if you need guidance on how to cream butter and sugar.) Add the egg and mix on high until combined, about 1 minute. Scrape down the sides and bottom of the bowl as needed. Add the vanilla and Nutella and beat on high until completely combined.

Pour the dry ingredients into the wet ingredients and beat on low speed until combined. Beat in the hazelnuts. Dough will be thick, yet airy and sticky. Cover and chill the dough for at least 3 hours in the refrigerator. If chilling for longer (up to 3 days), allow dough to sit at room temperature for at least 30 minutes before scooping and baking.

Preheat oven to 350°F (177°C). Line two large baking sheets with parchment paper or silicone baking mats. Set aside.

Cookie dough will be firm after chilling, but will come together with the warmth of your hands. Measure 1 scant Tablespoon of cookie dough and roll into a ball. Indent your thumb into it. Place caramel candy inside. (See recipe note.) Take another 1 scant Tablespoon of cookie dough and use it to completely cover the caramel candy on top. Roll the caramel-stuffed dough into an even ball. Make sure the caramel is completely wrapped inside. Sprinkle with coarse salt. Repeat with remaining cookie dough and caramels. Arrange cookie dough balls 3 inches apart on baking sheets. Place any remaining cookie dough balls in the refrigerator as you bake the other batches. (Best to keep those dough balls cold.)

Bake the cookies for 13-14 minutes until the edges appear set. Caramel may have oozed out a little. (That’s ok!) The centers will look very soft and under-baked. Remove from the oven and let cool on baking sheet for 5 minutes. The cookies will continue to “set” on the baking sheet during this time. Transfer cookies to a wire rack to cool completely. Use a thin spatula to help transfer the cookies to the cooling rack, especially if some caramel oozed out.

Cover and store leftover cookies at room temperature for up to 1 week.