Melt the butter over low heat in a large saucepan.
Add the marshmallows, and stir until fully melted.
Remove from the heat, and add the Rice Krispies, about a third of the mixture at a time. Stir until fully coated.
Add the sprinkles; stir until well-incorporated.
With oiled, gloved hands, shape a handful of the Rice Krispies mix into a flattish circle.
Place a Rolo candy in the middle, and wrap more of the Rice Krispie mix around it to form an egg-shaped ball.
Repeat steps 5 and 6 for the remaining mixture and Rolos.