Preheat the oven to 375 degrees. Line a cookie sheet with parchment paper. Set aside.
Unwrap the Rolo candies and place into a bowl. Set aside.
Pour ½ cup of granulated sugar in a small bowl. Set aside.
In a medium bowl, stir together flour, baking soda, salt, and cocoa powder. Set aside.
With a mixer, cream butter, white sugar and brown sugar together until smooth. Continue mixing and add in eggs, one at a time. Next, add vanilla extract. Mix until blended.
Continue mixing sugar mixture and slowly add flour mixture; blend well.
Place a spoonful of chocolate cookie dough in your hand and press one Rolo candy into the center. Roll between your hands to form a ball, making sure the Rolo is completely covered with the dough.
Toss the dough ball in the sugar bowl to coat the outside with sugar and place on prepared baking sheet.
Bake cookies for 7-10 minutes. Move to a cooling rack for several minutes.
Repeat steps until you run out of cookie dough, adding more sugar to the sugar bowl as needed.