In a large bowl, cream butter and sugars until light and fluffy. Beat in egg and vanilla. Combine flour, cocoa and baking soda; gradually add to creamed mixture and mix well. Cover and refrigerate until easy to handle, at least 2 hours.
Preheat oven to 375°. On a lightly floured surface, roll dough to 1/4-in. thickness. Cut with a floured 3-1/2-in. rocking-horse-shaped cookie cutter. Place on greased baking sheets, flipping half of cutouts so they face in the opposite direction (2 cutouts will form each rocking horse).
Bake until set, 7-9 minutes. Cool 2-3 minutes before removing from pans to wire racks to cool completely.
Flip cutouts so their flat sides are up. Melt chips; stir until smooth. Spread the top of a graham cracker cookie with some chocolate; attach to body area of cutout. Repeat with remaining cutouts. Let stand until set. Set aside remaining chocolate.
For icing, in a large bowl, beat confectioners' sugar, meringue powder and water on low speed just until combined. Beat on high until stiff peaks form, 4-5 minutes. Tint as desired with food coloring. Keep unused icing covered at all times with a damp cloth.
Flip cutouts right-side up; decorate as desired with icing. Let stand at room temperature for several hours or until icing is firm.
To assemble horses, reheat chips until melted. Place a caramel candy on a work surface in front of you; brush the long sides with chocolate. Pair up two cutouts so they align, forming a rocking horse.
Brush graham cracker cookies with chocolate; press the cutouts together, forming a rocking horse. (Rocking horse halves are attached in the center by the graham cracker cookies, which join the body, and the caramel candy, which supports the rocker.)
Gently place rocking horse on its side; let stand at room temperature for several hours or until firm. Repeat for remaining rocking horses. If desired, with ribbon, tie bows around rocking horses' necks.
Editor's Note: For a variation, substitute your favorite sugar cookie dough for the chocolate dough. Use shortbread cookies, white chocolate candies and untinted royal icing to assemble the rocking horses.