Preheat the oven to 250°F. Place 25 of the square pretzels on a baking sheet lined with parchment. Place one Rolo candy on top of each pretzel. I think that you could actualy cut them in half just because they are so rich. I also tried these with chocolate kisses.

Place the baking sheet in the preheated oven and bake 3 minutes, until the Rolos have softened. Remove from the oven and place a square pretzel on top of each Rolo to form a sandwich. I used a sppon to press the pretzel down so they were even. Let cool completely.
 

Add the melting wafers to a microwave safe bowl. Heat for 1 minute at 50% power, then stir. Continue to heat at 30 second intervals , stirring in between, until melted.

Dip one half of each pretzel sandwich into the melted chocolate. Allow the excess chocolate to run off, then return to the baking sheet. Sprinkle with holiday sprinkles. Allow to cool completely before serving.