Place pretzels down in a single layer on covered baking sheets (I use silpat silicone liner on my cookie sheet or can use wax paper).
Place unwrapped rolo candy on top of each pretzel.
Place in 350 degree preheated oven for 2-3 minutes watching carefully so that the candies don't completely melt. You want the candy to just soften but not loose it's shape.
Take out of oven and press another pretzel round on top of candy and pretzel. Let cool a few minutes and place on waxed paper on counter to completely cool. Repeat until all of the candies are used up. You will have pretzels left over to munch on :) LOL. Enjoy