Preheat oven to 250º F. Line a baking sheet with parchment paper or a silicon liner.
Arrange the pretzels on the baking tray. Top each one with a Rolo candy.
24 Rolo candies, 24 pretzels
Place the tray in the oven for 3-5 minutes. Keep an eye on them, once the candy is just starting to change shape and is very shiny, remove from the oven.
Immediately top each one with an M&M candy and very gently press down just slightly.
24 M&M candies
Let the pretzels set up for about 2 hours for the chocolate to completely harden before storing in an airtight container.