Preheat the oven to 350°F. Line two baking sheets with parchment paper and set aside.
In a bowl of a stand mixer fitted with the paddle attachment or using an electric hand mixer, cream together the butter and granulated sugar until light and creamy (about 2-3 minutes).
Scrape the bottom and sides of the bowl. Add the cold egg, mix on medium speed for 20 seconds, then add the egg yolk. Scrape down the sides, add vanilla extract. Mix on low until combined.
Sift in the flour, Dutch-processed cocoa powder, baking soda, and salt. Mix just until the dry mixture disappears. Scrape the bottom and the sides to make sure the butter is evenly combined.
Use a 3-tablespoon cookie scoop and start scooping out the dough. Flatten it slightly in your palm.
Take two Rolo candy or one Carmelo and press it into the center of the flattened dough.
Gently wrap the dough around the Rolo, ensuring that it is completely covered.
Roll the dough into a smooth ball, making sure there are no cracks where the Rolo might be visible.
Place the cookie dough balls onto the prepared baking sheets, leaving some space between each cookie to allow for spreading during baking.
Repeat this process with the remaining dough and Rolos until all the cookies are formed and placed on the baking sheets. You can fit 5 on each sheet pan.
Optional: for fun I rolled half of my dough balls in granulated sugar. This isn’t necessary, but a fun look!
Before you bake the cookies, slightly press down the dough flatten it a bit! A gently press will do! Bake the cookies for 11-13 minutes. Let the cookies cool for 5 minutes and they are best served warm!