Line two 15x10x1-in. pans with waxed paper. In a large bowl, beat marshmallow creme and 1 cup confectioners' sugar until blended. Knead in enough remaining confectioners' sugar until mixture is smooth and easy to handle.

Divide mixture into four portions. Roll each portion into 1/2-in.-thick logs. Cut crosswise into 1-1/2-in. pieces; place on one prepared pan. Freeze 15 minutes or until firm. Meanwhile, heat caramels and water over low heat until melted, stirring occasionally. Working with one-fourth of the logs at a time, dip in melted caramel; roll in peanuts. Place on remaining prepared pan. Repeat with remaining logs; freeze coated logs until set.

In top of a double boiler or a metal bowl over barely simmering water, melt chocolate chips and shortening; stir until smooth. Dip bottom of rolls into melted chocolate; allow excess to drip off. Return to prepared pans. Refrigerate until set. Store between layers of waxed paper in an airtight container at room temperature.