Preheat your oven to 350°F (175°C). Line a large baking sheet with parchment paper or a silicone baking mat. This ensures the melted caramel and chocolate do not stick.

Unwrap all of the Rolo candies. Arrange the pretzels flat on the prepared baking sheet, leaving a small space between each piece.

Place one unwrapped Rolo candy directly on top of the center of each pretzel.

Bake for approximately 3 to 5 minutes. The Rolos should look shiny and soft, but should not have completely melted or spread out of their shape. They must be soft enough to press easily.

Immediately remove the pan from the oven. Gently press one pecan half (or M&M candy) onto the top of the softened Rolo, forcing the chocolate and caramel to spread slightly into the crevices of the pretzel.

Allow the pretzel bites to cool and harden completely before handling. This takes 1 to 2 hours at room temperature. For faster results, transfer the baking sheet to the refrigerator or freezer for 15 to 20 minutes.

Once fully firm, remove the Rolo Pretzels from the parchment paper. Store the finished treats in an airtight container at room temperature for up to one week, or in the refrigerator for two to three weeks.