Preheat the oven to 250°F. Place 20 of the pretzels on a baking sheet lined with parchment or foil.
Top each pretzel with a Rolo candy. Then carefully cut the remaining pretzels in half to form antlers. I like to use a steak knife and gently saw the middle half way through to create a seam. Then I break in half. Set broken pretzels aside.
Place the baking sheet with the pretzels and Rolos in the oven and bake 3 minutes, or until the candies are softened. Remove the baking sheet from the oven and add eyes, nose, and antlers to each reindeer. Work quickly before the chocolate cools and hardens.
Allow the reindeer to cool completely before serving.