Heat oven to 375°. Prepare a cookie sheet (12'x18') by lining with parchment paper or spraying with cooking spray.
In a small bowl, combine the flour, cocoa powder, baking soda and stir with a wire whisk to break up any clumps.
In a bowl of a stand mixer, or use a mixing bowl with a handheld mixer, beat together the softened butter, sugar, and brown sugar until combined. About 1-2 minutes.
Add the vanilla extract and eggs. Beat until combined. Add half the flour mixture and beat together. Add the other half and mix together just until combined. If you are using pecans, stir those into the dough.
Take a scoop of dough (I use a small cookie scoop), about 1-2 tablespoons of dough, and flatten it out on the palm of your hand. Place an unwrapped Rolo in the middle, bring up the sides, and roll into a ball. Roll the ball in the granulated sugar and place on the cookie sheet. Repeat until you have 12 cookies per cookie sheet.
Bake for 7-9 minutes. Cookies should be puffy, won't spread much, and may have slight cracks on top of the cookies. Let cool on the cookie sheet for a few minutes and then transfer to a wire rack to cool completely.
Try eating a warm cookie! Store leftovers, covered, at room temperature.