Measure 1/2 cup cornmeal in a small saucepan. Slowly stir in milk. Bring to a boil over medium heat, stirring constantly.
Pour cornmeal mixture into a large bowl. Stir in molasses and oil. Cool to lukewarm (105 - 115 degrees).
Stir yeast into cornmeal mixture; let stand 5 minutes.
Add whole wheat flour and salt. Mix in enough all purpose flour, 1/2 cup at a time, to form a sticky but kneadable dough.
Knead dough on lightly floured surface about 10 minutes. Dough should become soft and elastic but may be somewhat sticky.
Place dough in lightly oiled bowl, turning to oil top. Cover bowl with clean towel; let rise in warm place until double, about 1 hour.
Punch dough down. Sprinkle baking sheet with 1 to 2 tablespoons cornmeal. Divide dough into 16 pieces, forming each into a smooth ball. Place balls on baking sheet, about 1 1/2 inches apart. Cover with clean towel; let rise until almost double, about 30 minutes.
Preheat oven to 375 degrees F. Beat egg in a cup; brush tops of rolls with egg. Bake until golden, about 20 minutes. Place rolls on wire rack to cool.