Preheat oven to 250 degrees Fahrenheit and line a cookie sheet with parchment paper.
Split mini twists in half to make antlers.
Place square pretzels on prepared sheet.
Unwrap and place a Rolo in the center of each.
Place in oven for 3 minutes.
Press "antlers" into both sides of Rolo simultaneously.
Press M&M down on Rolo to make nose.