Preheat your oven to 350°F (175°C) to ensure even baking and perfect texture.
In a large mixing bowl, beat together the softened unsalted butter and peanut butter with an electric mixer until smooth and creamy.
Add the packed brown sugar and granulated sugar to the bowl and mix until the mixture is light and fluffy.
Crack in one large egg and pour in the vanilla extract. Mix until fully combined.
Add one tablespoon of milk and mix until just combined to create a softer dough.
In a separate bowl, whisk together the all-purpose flour, salt, and baking soda. Gradually add this dry mixture to the wet ingredients and mix until just combined, being careful not to overmix.
Unwrap the Rolos and set them aside for stuffing.
Using a cookie scoop, take a portion of dough and flatten it in your hand. Place a Rolo in the center, then wrap the dough fully around it. Place the formed cookie on a baking sheet lined with parchment paper, spacing them apart.
Bake the cookies in the preheated oven for 10-12 minutes, until lightly golden around the edges. Centers may look slightly underbaked.
Remove the cookies from the oven and cool on the baking sheet for 5 minutes before transferring to a wire rack to cool completely. Enjoy warm or at room temperature.