Preheat oven to 250°. Line a cookie sheet with foil. Put pretzels on foil. Put 1 Rolo candy on top of each pretzel. Bake in preheated oven for 5 minutes. Remove from oven and immediately put on pecan half on top of Rolo candy mashing it down to fill the pretzel.
Refrigerate until set. Store in a tight sealing container.