Preaheat oven to 375°. Line two cookie sheets with parchment paper.
Mix butter, ½ cup powdered sugar, cocoa powder and vanilla with an electric mixer until fluffy. Add flour and salt and mix until the dough comes together. Stir in the nuts. If dough is too soft, chill it until you can work it easily with your hands.
Scoop 1 tablespoon of dough and flatten with your hands. Place 1 Rolo on top. Take another tablespoon of dough, flatten it, and lay it on top the Rolo. Press the sides together and roll to form a sealed ball of dough. Place on prepared cookie sheet.
Bake cookies for 9-11 minutes until bottoms are just slightly brown. Remove from oven and cool for just a minute, until you can handle them. Fill a small bowl with additional powdered sugar and roll each cookie in the sugar until coated.
Place on a rack to cool. (Once cookies are cooled, you may want to re-roll them in more powdered sugar.)