Combine sugar and cocoa in a large saucepan. Stir in milk, butter and peanut butter. Cook and stir over medium heat until butter melts and mixture is combined, about 5-20 minutes. Remove from heat.
Stir in the vanilla, oats and nuts, and mix thoroughly. Take a teaspoon and scoop out a spoonful of the mixture; drop the spoonful onto the waxed paper-covered baking sheet. Repeat with the rest of the mixture. Place in the refrigerator until the cookies are cooled and set. Store the cookies in an airtight container.