Place shortbread cookies on a baking sheet or tray. In a small saucepan over medium-low heat, melt caramels in water, stirring frequently. Spoon a thin line of caramel over each cookie. Place cookies in refrigerator until caramel is set.
Line baking sheets or trays with waxed paper. In a double boiler over simmering water, melt chocolate. Dip cookies in chocolate one at a time, tapping against the side of the bowl to remove excess. Place on prepared sheets and let rest at room temperature several hours, until set.