Line a baking sheet with parchment paper and arrange the pretzels in a single layer, leaving a little space between each one. Place one Rolo candy on top of each pretzel.
Preheat your oven to 250°F (120°C).
Place the baking sheet in the preheated oven and bake for 3–4 minutes, or until the Rolos are soft and slightly melted. Be careful not to overheat them.
Remove the baking sheet from the oven and immediately place one apple cube on top of each softened Rolo. Secure each caramel apple pearl with a toothpick. Serve immediately and enjoy!