I've done this with Mars bars and it is FRIGGING amazing. Not sure what you would use in New York, but if you can track some down, I would recommend it :P
For a 70cl bottle of Vodka you'll want about 6 or 7 bars.
Half fill a pan with water and heat it on the hob.
Put a pyrex bowl in the middle of the water so it surrounds the bowl but does not go in.
Chop up the Mars bars (or whatever chocolate you'll be using) and put them in the bowl once the water is simmering.
As the choclate melts, add in some vodka little by little, stirring constantly.
Keep doing this until all the vodka has been added, then keep mixing until everything forms a smooth blend. The caramel will be the last part to melt in, but it'll go eventually.
Let everything cool, then bottle. Once the mixture is down to room temperature, get it in the freezer for 24 hours. It won't freeze but will form a thick and cold texture.
After the 24 hours it's good to go! Keep it in the freezer when your not drinking, but once I've made a batch, I tend to neck the whole thing immediately. The ends more than justify the means!!
"My ambition is handicapped by laziness" — Charles Bukowski