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1. Preheat the oven to 350 degrees.
2. Beat the butter, sugar and vanilla at medium speed with an electric mixer until light and fluffy.
3. Add the egg.
4. Stir together the flour, cocoa and baking soda in a medium bowl.
5. Add the flour mixture to the butter mixture and mix at low speed until blended.
6. For each cookie, use 1 tablespoon of dough to surround one Hershey's Rolo candy.
7. Place the ball on an ungreased cookie sheet.
8. Bake 8 to 10 minutes.
9. Remove the cookies from the baking sheet and cool on wire rack.
10. Dust with powdered sugar.
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