Line a baking sheet with parchment. Stem apples, wash and dry well. Insert a wooden craft stick into the top of each apple. In a medium saucepan over medium heat, melt caramels with 2 tablespoons water, stirring often, until smooth, 8-10 minutes. Stir in 2 tablespoons heavy cream, 1/2 teaspoon cayenne and salt; reduce the heat to low.
Holding the sticks, dip apples one at a time into the caramel; let excess drip back into the pan. Scrape excess caramel off the bottom and roll and press it into small cheese crackers. Drizzle with more caramel and transfer to the baking sheet. Refrigerate until firm, 1-2 hours.