Preheat oven to 300 degrees. Arrange the pretzels in a single layer on a parchment lined cookie sheet. Place one chocolate Rolo on each pretzel. Bake for 4 minutes, or until Rolo is softened but not melted.
Remove from oven. While the candy is warm, press a pecan half onto each candy covered pretzel. Cool completely before storing in an airtight container.
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