Note: This cookie dough requires at least 2 hours of chilling. The cookies will be thicker the longer they chill (up to 3 days).
Add the butter, granulated sugar and brown sugar to a large bowl using a hand-held or stand mixer fitted with a paddle attachment. Beat on medium-high speed for 3 minutes, until it's light and fluffy in color. With the mixer still on, beat in the egg and vanilla extract, scraping down the sides of the bowl as needed.
1/2 cup unsalted butter, 1/2 cup granulated sugar, 1/2 cup light brown sugar, 1 large egg, 1 teaspoon vanilla extract
In a separate bowl, whisk the flour, cocoa powder, baking soda, and salt together until combined.
1 cup all-purpose flour, 2/3 cup natural cocoa powder, 1 teaspoon baking soda, 1/2 teaspoon salt
Turn the mixer down to low and slowly add the dry ingredients to the wet ingredients and beat until combined.
Cover the dough with plastic wrap and chill in the refrigerator for at least 2 hours or up to 3 days.
Preheat the oven to 350°F and line two large baking sheets with parchment paper. If the dough was chilling for longer than 24 hours, allow it to soften at room temperature for 30 minutes.
Use a large cookie scoop, or 1/4 cup measuring cup, to scoop out the dough. Break each cookie dough ball in half and press a Rolo in the center. Place the other half on top then pinch and roll the seems so the Rolo is in the center.
18-20 Rolos
Place the cookies 2-3 inches apart on the cookie sheet. Bake them in the preheated oven for 10-12 minutes, until the edges and tops are just set. Cool on the cookie sheet for 5 minutes then transfer them to a cooling rack to cool completely.