1. Put the pretzels on a baking sheet, you can line with parchment if you want, but I don't find it necessary usually. The key here is to put them pretty evenly spaced in rows, it will make the pecan step MUCH easier. You can use the circle pretzles, or the small twisty ones, but I prefer the snaps, it gives an even surface to place the rest of the stuff.
2. Then you will place one rolo candy on each pretzel.
3. Pop them in the oven at 350 (or around there) for 4-5 minutes. They will look shiny, but they will still look like a rolo, they shouldn't melt all over the place.