To make cookies with Rolo candies, cream 1 cup of softened butter with 1/4 cup of granulated sugar and 1 teaspoon of vanilla extract. Mix in 2 cups of flour, and mix the dough until it holds together. Roll the dough into 1 1/4-inch balls.
Press one dough ball around an unwrapped Rolo candy, covering the candy completely. Bake the cookies for 12 to 14 minutes at 360 degrees Fahrenheit. Allow the cookies to cool on a rack, and roll them in powdered sugar, if desired.
Alternatively, combine 2 1/2 cup of flour with 3/4 cup of unsweetened cocoa and 1 teaspoon of baking soda in a bowl. In a separate large bowl, cream 1 cup of softened butter with 1 cup of granulated sugar and 1 cup of brown sugar. Once the butter mixture looks fluffy, beat in 2 teaspoons of vanilla and 2 eggs. Add the flour mixture and 1/2 cup of chopped pecans into the batter, mixing everything well.
Refrigerate the dough for approximately 30 minutes before shaping 1 tablespoon of the cookie dough around an unwrapped Rolo candy. In a shallow bowl, mix 1/2 cup of chopped pecans with 1 tablespoon of sugar. Press one side of each cookie into the nut mixture, and place the cookies with the nut side facing up. Bake the cookies for seven to 10 minutes at 375 F.