Caramel Rum Chata Cheesecake Pudding Shots. You need: one box of pudding mix, one cup cold milk, 1/4 ounces twisted caramel vodka, 3/4 ounces Rum Chata, and one 8 oz tub of cool whip. Combine pudding mix, cold milk and liquors together. Then fold in cool whip, pour into shot cups, and freeze. Tip: let your cool whip sit out for about five minutes before starting. Will be much easier to whisk together. Enjoy!!!