Line a baking sheet with parchment paper for easy cleanup. Put pretzels in a single layer on the sheet. Place one Rolo candy on the corner of each pretzel. Leave room to add rainbow candy later.

To make the Rolo pretzels, just place the pretzels on a single layer on the prepared baking sheet. Place an unwrapped rolo on top of each pretzel, and bake for 3-5 minutes. Then, place an M&M on ...