Line a 6-cup large muffin tray with paper liners.
Place puffed rice cereal in a large bowl. Combine caramels, marshmallows and butter in a saucepan over low heat. Cook, stirring, for 5 mins, or until well combined. Quickly pour over cereal and mix until well combined. Distribute between paper liners, making an indentation in each to resemble a nest. Coat edges with sprinkles. Chill for 2 hours, or until set.
To serve, remove nests from paper cases. Fill with assorted candy.