Preheat your oven to 375°F. In a medium bowl, whisk flour, cocoa, baking soda and salt together completely. Set aside.
In a large mixer bowl with your paddle attachment, beat the sugars & butter until light & fluffy.
Add in the eggs. Beat well, then add in the vanilla.
Add the flour mixture slowly and blend well.
Combine pecans & remaining sugar in a small bowl..
Wrap about 2 tablespoons of cookie dough completely around 1 Rolo candy.
Roll the cookie ball in the pecan mixture.
Place on parchment paper lined cookie sheet at least 1.5 inches apart. If you cookie dough seems warm, cool the cookies on the cookie sheet for 5 minutes in the fridge, then bake.
Bake 14-16 minutes at 375 degrees F.
Cool on tray for at least 5 minutes so the Rolo inside the cookie sets a bit.
Move to a cooling rack and cool completely.
Store in a closed container at room temperature for up to 5 days, or freeze in an airtight container for up to 3 months.
Video
Notes
The amount of Rolo's you need depends on how large you make the cookies
If your dough is too warm, the cookies will spread too much. Simply refrigerate for around 5 minutes to cool it before baking.