Preheat your oven to 350°F (175°C).
Line your baking sheet with parchment paper.
In a medium-sized bowl, whisk together the all-purpose flour, cocoa powder, and baking soda.
In a large mixing bowl, cream together the unsalted butter, granulated sugar, and brown sugar until light and fluffy.
Beat in the egg and vanilla extract until fully combined.
Gradually add the dry mixture to the wet mixture, mixing on low speed until just combined.
Using a cookie scoop or spoon, take about 1 tablespoon of dough, flatten it, and place a Rolo candy in the center. Wrap the dough around the candy to form a ball.
Roll each ball of cookie dough in granulated sugar before placing them on the prepared baking sheet.
Bake the cookies for 10-12 minutes. The edges should be set, but the centers will look slightly underbaked.
Allow the cookies to cool on the baking sheet for 5 minutes before transferring them to a wire rack to cool completely.
