Line your baking sheet with parchment paper and place pretzel snaps in neat rows. Leave a little room between them so heat circulates evenly. This also makes topping them easier later.
Unwrap the Rolo candies and place one in the center of each pretzel. Try to keep them centered so melted caramel stays balanced. Work efficiently so candies don’t soften prematurely.
Bake for about 4–5 minutes until chocolates soften and look glossy but not melted flat. Immediately press an M&M into each piece and add sprinkles while caramel is warm so toppings stick well.
Allow bites to cool at room temperature until chocolate firms up completely. This usually takes around two hours. Refrigerating for 20–30 minutes speeds up the process if needed.