Heat oven to 350°F. Grease baking sheet.
Stir sugar, egg, butter and cheese in large bowl until creamy, butter and cheese are small lumps, 4 minutes (or beat with mixer 1 minute). Stir in cocoa, salt. Stir in milk and vanilla.
Gradually sift together flour and baking powder into mixture, 1 cup at a time; stir in flour just until blended before adding next cup. When all have been added, stir just a few seconds more to mix well. Stir in pecans.
Drop batter by heaping teaspoonfuls, 1 inch apart, onto prepared baking sheet.
Bake in 350°F oven 12 to 14 minutes, until edges are brown. Remove cookies with spatula to wire rack to cool. Cookies will be quite soft while warm, but will crisp as they cool on the rack.