Preheat oven to 180ºC/350ºF.
Line a baking sheet with parchment paper.
Cream the butter, sugar and egg together until light and fluffy.
Sift in the dry ingredients and mix.
Add the milk and continue to mix.
Roll a tablespoon sized ball of dough and press flat slightly on the baking sheet.
Softly press in a rolo into each cookie.
Bake for 8-10min or until golden brown.
Allow to cool.
Enjoy.