Preheat the oven to 350 F. In a large bowl, mix together cake mix, eggs, and vegetable oil until smooth. Divide the cookie dough into three bowls, mix blue food coloring into one bowl and red into another.
Take a small amount of each cookie dough and roll together into balls. Flatten slightly and place one Rolo on each cookie dough. Roll back into balls and place onto a large ungreased baking sheet at least 2-inches apart. Bake for 10-12 minutes.