Toast Pecans. If you haven't already, spread pecan halves out in a single layer on a baking sheet. Bake at 350 degrees for 6-8 minutes, stirring once in the middle for even browning. Set the pecans aside to cool.
Preheat Oven & Prep The Pan. Then, preheat the oven (or reduce the temperature) to 300 degrees F. Line a cookie sheet with parchment paper.
Layer Pretzels & Rolos. Arrange pretzels in a single layer (no overlap!) on the prepared baking sheet. Top each pretzel with an unwrapped Rolo candy.
Melt Chocolate. Place the pan in the preheated oven to soften/melt the chocolate for 4-5 minutes. Ideally, you want to soften the chocolate, but not melt it too much. Look for glossy, shiny tops and sides of the Rolo candies to see that it's softened enough.
Quickly Top. Remove the pan from the oven and quickly press a toasted pecan half or an M&M candy into the top of the Rolo candy. The softened Rolo should easily press down and flatten out to cover most of the surface of the pretzel.
Cool To Set. Let them cool completely so the melted chocolate can set back up (this can take 1-2 hours at room temperature, or you can speed things along by popping them in the fridge for 10-15 minutes.)
Serve & Store. Enjoy right away or store Rolo pretzels in an airtight container for up to 2 weeks.