Preheat the oven to 350 F. Line 2 baking pans with parchment paper, if desired.
In a large mixing bowl or mixer, cream together the peanut butter, butter, sugar and brown sugar. Beat together until smooth & creamy.
Add the egg and vanilla extract and continue to mix until well combined.
In a small mixing bowl, whisk together the flour, baking soda, and salt.
Stir the flour mixture into the butter and sugar mixture until well combined.
Using a cookie dough scooper or making the dough into 1 inch balls and place on to baking sheet. Slightly flatten dough with the palm of your hand.
Place 1 Rolo in the center of each cookie, press the dough around the Rolo, until you can no longer see the Rolo. Roll the dough in between the palm of your hands until smooth. Roll in white granulated sugar if you desire.
Using a fork, press down on each ball of dough to flatten and create a criss-cross pattern.
Bake for 8-9 minutes. Do not over bake. Let cool on the baking sheet for a few minutes and then transfer to a wire rack.