In a small skillet set over medium heat, heat the olive oil. Add the mushrooms and rosemary; cook until mushrooms are soft, about 2 minutes. Add the cooking sherry, a pinch of salt, and a few shakes of pepper. Cook, stirring frequently until the liquid had cooked off, about 5 minutes. Let cool.
Heat oven to 350ºF.
Unroll crescent dough onto a baking sheet, pinching the seams together to seal them. Spread the mushrooms over the dough to within 1/4 inch of the long edges. Starting from a short edge, tightly roll the dough into a log. Cut into 8 rounds (For the neatest slices, use a serrated knife and a gentle sawing motion to slice the rolls.) Dust the edges of the pinwheels with parmesan cheese and arrange onto a baking sheet.
Bake 12-15 minutes, or until golden brown and cooked through. Enjoy warm or at room temperature.