Line a cookie sheet with parchment paper and preheat your oven to 350. Place as many pretzels as you'd like to make reindeer. Place an unwrapped Rolo on top of each pretzel twist. Place in oven for about 3-5 minutes, long enough for Rolo to be very soft and melty, but still have it's form. Remove, and quickly decorate with red candy as nose, eyes, and broken pretzel pieces as antlers. Let sit about 30 minutes or briefly set in fridge to help set quicker.
Alternately, if you want to make these year round, just skip the nose and eyes, and when you remove from the oven place a full pretzel twist on top of each Rolo, and gently press down making a sandwich.