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Preheat oven to 300 degrees.
Line an 18 by 13-inch baking sheet with parchment paper.
Lay pretzels in a single layer on baking sheet then place one Rolo candy in the center of each pretzel.
Warm in preheated oven just until chocolate and caramel have softened, about 4 minutes.
Remove from oven then press 1 pecan into each Rolo candy.
Transfer baking sheet to refrigerator and chill until chocolate has set.
Store in an airtight container at room temperature (preferably in a single layer - the chocolate softens up just a little at room temperature).