Preheat the oven to 250°F. Place the square pretzels on a baking sheet lined with parchment or foil. Place one Rolo candy on top of each pretzel.
Place the baking sheet in the preheated oven and bake for 3 minutes, until the Rolo's have softened. Remove from the oven and press a M&M on top (or use another pretzel or pecan instead if desired). Let cool completely.
