Preheat the oven to 350 F. In a medium bowl, whisk together flour, quick oats, salt, and baking soda. In a large bowl, combine butter, peanut butter, and both sugars until fluffy.
Add in the egg and vanilla extract, and mix until smooth. Add in the flour mixture, and mix until completely combined. Roll the cookie dough into balls, and flatten slightly.
Place one Rolo candy on each piece of dough, and fully wrap the cookie dough around the Rolo, and form into a ball. Place the cookies onto a large ungreased baking sheet. Bake for 10-12 minutes.
