Unwrapping the Rolos are the most time consuming part of the candy making process, so do it first. Find whole waffle pretzels (so they look nice) and lay them on a baking sheet. If you desire to use parchment paper, please do so. (I forgot for this batch).Place a Rolo on each pretzel.
Be careful the pretzels slide very easily!
You'll know the Rolos are soft when they get really shiny and just start to show signs of losing their shape. You can test one before taking the baking sheet out of the oven if you like to see if they are squishable. Once softened, you take them out and place a pecan half on top of the Rolo and press it downward just enough for the Rolo candy goodness to come up around its sides a little.
If you like sweet and salty, but don't like pecans you can top it with another waffle pretzel.
Once they cool completely you can store them in a tightly sealed container...they won't last long enough to worry about a shelf life. :)