Preheat oven to 350°F. Line two cookie sheets with parchment paper or silicone baking mats.

Cream butter, peanut butter, and brown sugar with a hand or a stand mixer until smooth. Mix in vanilla, egg, and milk. Add the pudding mix (the dry mix) to the batter and mix until combined, then mix in baking soda. Slowly mix in flour until the dough forms.

Scoop 2 tablespoon sized cookie balls onto prepared cookie sheets. Press them in a criss-cross pattern with the tines of a fork.

Bake for 8-12 minutes or until the cookies are just no longer glossy on top.

Let the cookies cool for about 10 minutes. Place an unwrapped Rolo on top of each and return them to the oven for about 1 minute or until the candy is melty looking. Watch them carefully, it may take less time. Immediately press a pecan half onto the top of each cookie. Let cool completely before removing from pan.

Store in an airtight container for up to 4 days or freeze for up to one month.