Place 4 cups of Chex cereal in a large bowl. Melt the chocolate chips in a microwave-safe dish in the microwave in 30-second intervals, stirring well between until the chocolates are melted.
Pour the melted chocolate over the cereal and mix until the cereal is completely covered in the chocolate.
Melt the caramel and heavy cream using the same method as the chocolate.
Drizzle the caramel over the chocolate-covered cereal. Stir lightly getting all of the cereal pieces drizzled in caramel.
Pulse the shortbread cookies in a food processor until fine, and mix the shortbread crumbs with the powdered sugar in a gallon-sized bag.
Dump the chocolate and caramel-covered cereal into the bag with the powdered sugar, and shake to coat in the powdered sugar shortbread cookie crumbs. Add the chopped Twix bars to the bag.
If you want a final caramel drizzle, lay them out on a parchment-covered cookie sheet. Melt the 5 caramels and drizzle on the top of the muddy buddies.