Portion cookie dough into 1-Tbsp. scoops on a parchment-lined baking sheet (18 total). Freeze dough until very firm, 10 to 15 minutes.

Meanwhile, separate Oreos and scrape off frosting.

In a medium heatproof bowl, microwave chips and coconut oil in 15-second increments, stirring between each, until melted and smooth, 45 seconds to 1 minute.

Spoon 18 (1"-diameter) rounds of ganache on another parchment-lined baking sheet.

Dip smaller end of Rolo into remaining ganache. Attach to flat side of Oreo to form a hat. Dip snowflake sprinkle (if using) into ganache and attach where Oreo meets Rolo at the rim of the hat.

Roll each scoop of dough into a smooth ball. Using a fork, dip one dough ball into ganache to cover and gently press into a ganache round on the baking sheet.

Before chocolate sets, attach 2 black sugar pearls as the eyes, then 3 to 4 black sugar pearls in a semicircle as the mouth. Place 1 orange sugar pearl in the middle as the nose, then place hat on top of snowman’s head. Repeat with remaining dough balls.

Let chocolate set before serving, 15 to 20 minutes.