Unwrap Rolo candies and place in bowl for later.
Put pretzels onto cookie sheet. Set a Rolo on each pretzel
Place in oven to soften Rolos, about 3-4 minutes. Check occasionally, don't let them melt!
Take out of oven. Push a pecan half or cashew on top of each Rolo.
Set in fridge to harden.
Remove from wax paper and store in container. Keep cool.