Preheat oven to 250 degrees. Line a baking sheet with foil. Spread pretzels over baking sheet in one even layer. Add one Rolo to each mini pretzel. Bake for 4 minutes.
Remove from oven and immediately add a pecan to the top of the Rolo, squishing down. Let cool for a few minutes, then transfer baking sheet to freezer to chill for 10 minutes. Remove and store in a sealed container.
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