Preheat the oven to 350 F. In a large bowl, mix together the cake mix with eggs and vegetable oil until smooth. Fold in the Reese's pieces.
Use a cookie scoop to place the cookie dough onto a large ungreased baking sheet at least 2-inches apart. Place one Rolo on each piece of cookie dough. Cover with more cookie dough and bake for 10-12 minutes.