Preheat the grill, setting the burners to high. Oil the grate.
Grill the pineapple slices for 2 minutes on each side. Set aside on a small baking sheet. Scatter half of the cookie pieces overtop and keep warm.
Meanwhile, thread the marshmallows onto four metal skewers. Toast over a flame or the grill. Gently remove the marshmallows and place on the pineapple slices. Top with the remaining cookie pieces. Serve drizzled with caramel sauce, if desired.
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20 minutes or less