Pop them in the oven at 350 (or around there) for 4-5 minutes. They will look shiny but they will still look like a rolo they shouldn't melt all over the place. Take them out of the oven and place a pecan on top of each rolo.
Caramel Apple Cheesecake Bars | The Girl Who Ate Everything (Note: These have been adopted from Paula Deen's Recipe which I also have posted here. The key difference with this one is that she has increased the cream cheese filling which I wholeheartedly agree with - no offense Paula, but gotta have all that cream cheese goodness!)