Preheat the oven to 350 F. In a large bowl, combine butter with powdered sugar and peanut butter until fluffy.
Add in vanilla extract, and mix until smooth. Add in flour, mix until it is fully combined. Roll the cookie dough into balls , and flatten slightly. Place one Rolo onto each piece of dough, and wrap it around the candy fully. Form into a ball.
Place onto a large ungreased baking sheet at least 2-inches apart. Bake for 10-12 minutes. Place the remaining powdered sugar into a shallow dish. Roll the cookies into the powdered sugar, let cool completely on a cooling rack.
