Preheat oven to 250 degrees. Line baking sheet with a silicone baking mat or parchment paper.
Place pretzel squares flat on a prepared baking sheet.
Place a Rolo candy on top of each pretzel square.
Bake 3 minutes, or until Rolos are shiny and soft.
Remove pretzel bites from oven and gently press another pretzel square on top of Rolo candy, sandwiching the it between the two pretzel squares.
Place a white chocolate melting wafer on top of the each Rolo pretzel bite.
Place pan back in oven and bake 3 minutes, or until melting wafer is shiny and soft. It will retain its shape.
Remove Rolo Pretzel Bites from oven and immediately top the white chocolate wafer with a few sprinkles.
Place baking sheet with Rolo Pretzel Bites on it in the refrigerator for 15 minutes. Then remove and store in an airtight container.