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Sift flour, cocoa, soda, and salt together in a bowl. Set aside.
Beat butter and sugars until fluffy, add vanilla and eggs one at a time; beat well.
Add the flour mixture and blend well until it gets incorporated. Chill the dough for 30 minutes.
Meanwhile, heat oven to 375º F (190º C)
Mix pecans and sugar in a bowl. Take 1 Tbsp of dough and flatten. Place 1 Rolo in the center and cover it completely with the dough making a ball. Press the ball into pecan sugar mixture.
Place the balls onto parchment papered cookie sheet, 2" apart. Bake for 7-10 minutes. Remove them from the sheet and cool on the wired rack.
Combine powdered sugar and milk until you get the desired consistency, drizzle icing over the cookies.