Preheat the oven to 350 F. In a medium bowl, whisk together flour, oats, salt, and baking soda. In a large bowl, combine butter, peanut butter, and both sugars. Mix until fluffy.
Add in the egg and vanilla extract, and mix until smooth. Add in the flour mixture, and mix until a thick dough forms.
Roll the cookie dough into balls, and place them at least 2-inches apart onto ungreased baking sheets. Bake for 10-12 minutes. Remove from the oven and top each one with a unwrapped Rolo candy.