Preheat your oven to a low temperature, specifically 300°F (150°C). Maintaining a low temperature is critical to melting the caramel slowly without burning the chocolate or the pretzel.

Line a large baking sheet (or two standard sheets) with parchment paper or a silicone baking mat. This ensures the melted candy does not stick and makes clean-up much easier. Ensure all Rolo candies are unwrapped before proceeding.

Arrange the pretzels in a single layer across the prepared baking sheets. Lay them flat and close together, ensuring they do not overlap.

Take one unwrapped Rolo candy and place it directly in the center of each pretzel.

Place the baking sheet into the preheated 300°F (150°C) oven and bake for approximately 3 to 5 minutes. Watch the Rolos carefully; they are ready when they appear shiny and slightly softened, but they should not be fully melted or spreading yet. Immediately remove the baking sheet from the oven.

Working quickly while the treats are still hot, take one pecan half and gently press it down onto the center of the softened Rolo candy.

The pressure from the pecan will cause the warm chocolate and caramel to spread slightly and securely adhere to the pretzel underneath. Repeat this process for every Rolo pretzel. (If the Rolos cool too much and resist pressing, return the tray to the oven for 30 seconds to re-soften them.)

Allow the Rolo Pretzels to cool and fully set. You may leave them at room temperature for about 30 to 45 minutes, or place the baking sheets in the refrigerator for 10 to 15 minutes for faster cooling. Once fully set, carefully peel the treats off the parchment paper.