Start by placing ½ cup of unsalted butter in a large mixing bowl. Using an electric mixer, beat the butter for about 20 seconds until it's creamy and smooth.
Add ½ cup of granulated sugar and ½ cup of packed light brown sugar to the bowl. Mix until everything is well combined, and the sugars have fully incorporated into the butter.
Next, crack in 1 large egg and add 1 teaspoon of vanilla extract. Blend everything together until smooth and creamy.
In a separate mixing bowl, sift together 1.25 cups of all-purpose flour, 6 tablespoons of unsweetened cocoa powder, and ½ teaspoon of baking soda. This will ensure that there are no lumps in your dry ingredients.
Gradually add the dry mixture to the wet ingredients in the large mixing bowl, incorporating it in three additions. Make sure to mix well each time until all the dry ingredients are just combined.
Cover the bowl with plastic wrap and refrigerate the dough for about 30 minutes. This will help the cookies hold their shape while baking.
Preheat your oven to 375 degrees F (190 degrees C). While the oven is heating, line a cookie sheet with parchment paper or a silicone baking mat.
Once the dough is chilled, take it out of the refrigerator. In a small bowl, place 2 tablespoons of granulated sugar for rolling the cookie dough balls.
Scoop a generous amount of dough using a standard size ice cream scoop. Level off the top of the scoop and roll the dough into a ball in your hands.
Now, take 1 Rolo candy and place it top side down into the center of the dough ball. Gently push down to encase the caramel candy, making sure the dough fully covers it.
Roll the dough ball in the sugar from the small bowl to coat it lightly and then place it on the prepared baking sheet. Repeat this process with the remaining dough, placing about 6 balls of dough on the baking sheet at a time.
Bake the cookies in your preheated oven for about 7 to 9 minutes. Aim for around 8 minutes for the perfect texture, where the cookies are set but still soft.
Once baked, let the cookies cool on the baking sheet for around 2 minutes before gently transferring them to a cooling rack to cool completely.