Drizzle about 2 tablespoon olive oil over the chicken thighs and sprinkle with Out Grilling Sweet BBQ Rub.
Roll up the thighs and drizzle the outside with about 2 tablespoon olive oil, then season with more rub.
Grill over medium fire with the grill closed, until the chicken reaches an internal temperature of 165°F using a digital meat thermometer.
Remove from the grill and let rest for a few minutes. The chicken can be cooked ahead and refrigerated if making this dish later.
Preheat the oven to 375°F.
In a skillet, cook onions and mushrooms in 2 tablespoons olive oil over medium heat. Season with 1/2 teaspoon salt + 1/2 teaspoon pepper, cooking until softened.
In a bowl, mix 1 cup sour cream, 1 cup heavy cream, 1 tablespoon Worcestershire sauce, 1 1/2 tablespoons rosemary, 1 teaspoon salt, and 1 teaspoon pepper.
Place the grilled chicken in a baking dish and pour the sauce over the top.
Bake for 20-25 minutes until the sauce is bubbly and the flavors meld together.
Garnish with fresh parsley and serve hot.