Prep the oven and baking sheet. Before you get started making the turtle candies, preheat your oven to 350°F. As it heats, line your baking sheet with either wax paper, parchment paper, or a silpat mat. These will help keep the candies from sticking to the baking sheet.

Bake the pretzels and Rolos. Place your pretzels on your lined baking sheet and place a single Rolo on each pretzel. It works best if you place the flat bottom on the pretzel. Once you have placed a Rolo on each pretzel, place the baking sheet in the oven and bake for 3 minutes or until the candy has softened but not melted.

Top with a pecan and allow to cool. Carefully, remove the tray from the oven and press one pecan half down into each Rolo. Before eating, allow the candy to cool completely. Once cooled, you can either eat them immediately or store in an airtight container for later.