Preheat oven to 350 degrees. Line a cookie sheet with parchment.
Mix together the first three ingredients until well combined.
Using your hands, take a small piece of dough (about half the size of a golf ball) and roll it into a ball. Smash it flat in your hand and place a Rolo in the center. Close the dough around the Rolo. Repeat until all of the dough is used.
Bake for about 9 minutes. Sprinkle with powdered sugar. Delicious served warm or at room temperature.
Using cold, wet hands will help keep the dough from sticking to your hands. You may also spray your hands with non-stick spray.