Preheat the oven to 350 degrees. Line a baking sheet with parchment paper. Cream the butter and sugar together with an electric mixer on medium speed until smooth. Add the egg and beat until incorporated. Add the vanilla, baking soda and salt and beat until smooth. In a food processor or blender, combine the oats and pecan pieces and pulse several times to grind. Add this to the creamed mixture and beat until incorporated. The dough will be stiff and sticky. Drop by the teaspoonful, about 3 inches apart, onto the prepared pan. Flatten the dough slightly with your fingertips. Bake for 6 minutes until lightly golden. Remove from the oven and carefully roll the cookies into cylinder shapes-like a cookie cigar while they are still hot. Cool completely on wire racks.