Preheat oven to 250 degrees. Cover cookie sheet with aluminum foil & place pretzels individually to form 1 layer.
Place 1 unwrapped Rolo candy on top of each pretzel. Bake at 250 degrees for 4 minutes. Immediately remove from oven & quickly place a pecan half on top of candy. Press down to "squish" the chocolate into the pretzel & flatten out.
Cool 15-20 minutes, then refrigerate until chocolate is firm, usually 20-30 minutes.