Heat oven to 350 degrees.
For the crust, mix crumbs, pecans, sugar, cinnamon and butter. Press into the bottom of a 9" springform pan. Bake for 10 minutes in pre-heated oven, then remove it to cool.
For the filling, beat cream cheese, sugar and vanilla in a mixer on medium-low speed until smooth. Add eggs, one at a time, until mixed in thoroughly.
Divide batter, and set aside 1/4 of the mixed batter. Spread the remaining 3/4 batter into the graham cracker crust.
Place the candies in a microwave-safe bowl, and microwave on MEDIUM (50%) for 1 minute. Stir. If necessary, microwave at MEDIUM an additional 10 seconds at a time, stirring after each heating until candies are melted and smooth when stirred.
Blend reserved cheesecake batter into the melted candy mixture and mix well.
Slowly blend the milk into the candy mixture.
Drop candy mixture by heaping teaspoons onto vanilla batter in the springform pan.
Gently swirl mixture around with a knife to achieve desired marble effect.
Bake 30 - 35 minutes or until center is almost set.
Remove from oven to wire rack, and cool completely.
Cover and refrigerate until chilled.