Line two cookie sheets with parchment paper, but don’t preheat the oven yet.
Whisk together the sugar cookie mix and cocoa powder in a large mixing bowl.
Using a hand or stand mixer, beat in the butter and egg until a thick dough forms.
Scoop out a large ball of dough using a 1 ½ Tablespoon cookie scoop and flatten it into a disc.
Place two unwrapped Rolos in the center of the disc and gently form into a smooth ball.
Roll in sanding sugar or powdered sugar, optional, and then place the ball on a prepared cookie sheet.
Repeat with the remaining dough until all cookie sheets have been filled with cookies placed about 2 inches apart.
Once the dough has all been rolled, cover the cookie sheets with plastic wrap and place them in the refrigerator to chill for at least 30 minutes.
Several minutes before you intend to bake the cookies, preheat the oven to 350 degrees Fahrenheit.
Once the oven is preheated, remove the cookies from the refrigerator and discard the plastic wrap.
Bake the cookies for 10-15 minutes or until set on the edges and the top begins to crack.
Remove from the oven and cool for at least 5 minutes before moving to a cooling rack or serving warm.