Preheat oven to 350°.
Line a baking sheet with foil.
Char a marshmallow as desired over an open flame. Being careful not to catch the marshmallow on fire, or burn yourself.
Place a marshmallow on one cracker and your Rolo on another cracker.
Bake open faced for 5 minutes.
After allowing to cool for 1-2 minutes, sandwich the crackers together with the Rolo and Marshmallow in the center.