Preheat your oven to 350 degrees.
In a large food processor, pour in the pretzels, bacon, brown sugar, and butter. Pulse 10-15 times until the pretzels have broken down to very small pieces. Press the crust into an even layer on the bottom of a 9x13 inch glass pan that has been coated in non-stick spray. Bake for 15 minutes and then remove from the oven to cool.
While the crust is baking, begin making your caramel. In a large 3-5 quart mixing bowl combine the margarine, sugar, and corn syrup. Microwave for 5 minutes.
Stir the mixture with a wooden spoon and slowly add in the can of sweetened condensed milk. Continue stirring until the milk is well combined.
Microwave for and additional 12-18 minutes, stopping the microwave to stir the caramels every 3 minutes. Stir the mixture each time until no more bubbles appear. Temperature test the caramel each time if comes out of the microwave. Your target temperature for the perfect chewy texture is 245-250 degrees F and the color of the caramel closely resembles a brown paper sack. Use a quick read digital thermometer to take your temperature readings.
If your caramels are close to the correct temperature, but not quite done after 12 minutes, return to the microwave in 1 minute intervals until the correct temperature is reached.
When the caramel is done cooking, stir in the vanilla and cayenne pepper. Carefully pour the hot caramel over the pretzel bacon crust and allow to cool for about 6 hours before slicing into 1 inch squares and wrapping in wax paper. You can let them cool in the fridge to speed up the process and have a firmer caramel, but cold caramels are harder to slice than room temperature.