Spoon 1/2 the COOL WHIP into bowl; refrigerate to thaw. Return remaining COOL WHIP to freezer. Prepare cake batter and bake as directed on package for 2 (9-inch) round layers, adding dry pudding mix to dry cake mix before mixing with liquid ingredients. Cool cakes in pans 10 min.; invert onto wire racks. Remove pans. Cool cakes completely.
Meanwhile, microwave caramels and water in microwaveable bowl on HIGH 1-1/2 min. or until caramels are completely melted and sauce is well blended, stirring every 45 sec. Cool slightly.
Beat Neufchatel in large bowl with mixer until creamy. Add caramel sauce; mix well. Blend in thawed COOL WHIP. Stack cake layers on plate, filling and frosting top with Neufchatel mixture. Refrigerate until ready to serve.
Microwave frozen COOL WHIP and 3 oz. semi-sweet chocolate in microwaveable bowl 3 min. or until blended, stirring after each minute. Cool 10 min. Meanwhile, melt remaining semi-sweet chocolate as directed on package. Dip 1/2 of each wafer into chocolate; place on wax paper-covered baking sheet. Top with nuts. Refrigerate until ready to use.
Spread COOL WHIP mixture onto top of cake. Garnish with wafers.