Place the Rolo candies in the freezer about an hour before preparing the cookies.
Using an electric mixer, cream together the butter, both sugars, eggs, milk and vanilla until smooth.
In a separate bowl, whisk together the cocoa powder, flour, baking soda and salt. Beat the flour into the wet mixture slowly.
Take out just enough Rolo candies, from the freezer, for each batch of cookies.
Take one spoonful of cookie dough and one Rolo candy. Cover the Rolo candy with the cookie dough, ensuring that the candy is totally surrounded in the dough. Roll the dough in your hands to create a ball. Then gently roll the ball of dough in the 1/4 cup of white sugar. Place on a cookie sheet lined with parchment paper.
Place the cookie dough balls 2 inches apart on the cookie sheet.