Place the candy melts in a small (1 cup) measuring cup. Microwave for 30 seconds. Remove from the microwave and stir. They might not look melted. This is fine. This step removes hot spots and keeps the chocolate from burning. Repeat until candy is melted. 

Dab a little melted chocolate onto a Rolo (or dip the Rolo into the chocolate). Place the Rolo, lines out, on the cookie to make a wheel. Hold until the chocolate hardens and the Rolo sticks to the cookie. Repeat to make four wheels. 

Repeat until all cookies are done. If the chocolate hardens before you've attached all the Rolos, microwave it for 12 seconds to remelt.