Preheat oven to 350°F. Line 2 cookie sheets with parchment or silpat baking mats.
Cream butter, peanut butter, and both sugars in the bowl of an electric mixer fitted with the paddle attachment. Add egg, vanilla, milk, salt, and baking soda. Mix until combined. Slowly add flour and mix until dough comes together.
Scoop 2 tablespoon sized balls of dough. Wrap a Rolo completely into the middle of each ball, rolling it between your palms to seal. Place 2” apart on cookie sheets and use a fork to make a small criss-cross pattern on the top.
Bake for 9-12 minutes, until they just begin to brown. Cool completely and remove from cookie sheets.
Store in an airtight container for up to 3 days. They can be frozen in sealable containers or ziploc bags between layers of paper towels for up to one month.
To get the gooey caramel in the photos, eat when warm!