Garnish: Insert popsicle stick into 1 pie slice, starting at the pointed end and inserting as far as possible. Freeze at least 30 min. or until stick is firmly secured. (Save remaining pie slices for future use.)
Meanwhile, chill 16-oz. serving glass at least 30 min. Spread 1/2 oz. of the caramel sauce onto outside rim of glass, about 1 inch from top. Roll glass in 1/2 oz. cookie pieces. Refrigerate until ready to serve.
Milkshake: Blend 10 oz. ice cream, milk, 1-1/2 oz. cookie pieces and apple pie filling in blender until smooth. Pour into prepared glass.
Top shake with scoop of ice cream, 1 frozen pie skewer, whipped cream and remaining 1/2 oz. of caramel sauce and cookie pieces.