Preheat your oven to 250°F (120°C). This gentle heat will soften the Rolos without burning the chocolate or drying out the pretzels.
Line a large baking sheet with parchment paper or a silicone baking mat to prevent sticking and make cleanup easier. If you plan to make a large batch, prepare a second baking sheet as well.
Lay the mini pretzel twists in a single layer on the prepared baking sheet. Keep them close together but not touching so they bake evenly and are easy to move later.
48 mini pretzel twists
Place one unwrapped Rolo candy in the center of each pretzel. It’s fine if they’re not perfectly centered; they will spread slightly as they soften.
48 mini pretzel twists, 48 Rolo candies
Transfer the baking sheet to the oven and bake for 3–4 minutes, just until the Rolos look glossy and soft but still hold their shape. Check at 3 minutes—if you can gently press the top of a Rolo with a spoon and it gives easily, they are ready.
48 Rolo candies
Remove the tray from the oven and work fairly quickly. Press one pecan half straight down into each softened Rolo so the caramel spreads and hugs the pretzel. For a nut-free version, press one M&M into each softened Rolo instead of the pecan.
48 Rolo candies, 48 pecan halves, plain or peanut M&Ms
While the chocolate is still soft, sprinkle a tiny pinch of coarse or flaky sea salt over the tops for a salted caramel flavor. You can also add red and green M&Ms or sprinkles for a festive holiday look, or gently press a dark chocolate melting wafer into some of the candies for extra chocolate intensity.
coarse sea salt or flaky salt, plain or peanut M&Ms, red and green M&Ms or sprinkles, dark chocolate melting wafers
Let the Rolo pretzel turtles cool on the counter until the chocolate is firm to the touch, about 30–45 minutes depending on room temperature. For a faster set, place the entire baking sheet in the refrigerator for 15–20 minutes.
Once fully set, gently peel the turtles off the parchment. Serve immediately, pack into tins or gift boxes, or transfer to an airtight container for storage.