Preheat the oven to 275°F and line a baking tray with parchment paper.
Arrange the pretzels on the tray, spacing them out about an inch apart.
Top each pretzel with an unwrapped Rolo.
Bake for 2-4 minutes—just enough to soften the Rolos without fully melting them.
Remove from the oven and press a pecan half onto each Rolo, gently pushing it down to spread the chocolate.
Cool completely on the counter, or speed things up by placing them in the fridge for about 10 minutes.