Heat oven to 250 F. Live cookie sheet with parchment paper or foil.
Place one pretzel for each pretzel treat desired on prepared sheet. Top each pretzel with one unwrapped Rolo Candy.
Bake 3 - 5 minutes or until Rolo caramel pieces begin to soften, but not melt. Remove from the oven; top with either a pecan half or additional pretzel. Cool completely.