Preheat oven to 400°F. Lightly grease small baking sheet.
Place chicken breasts between sheets of waxed paper and pound to 1/4-inch thickness, using mallet or rolling pin. Season chicken with salt and pepper. Combine crumbs, Romano cheese, paprika and thyme in shallow dish. Place 1 cheese stick at short end of each chicken breast. Roll up chicken, enclosing cheese. Trim cheese even with ends of chicken if necessary. Brush chicken rolls with olive oil. Dip into breadcrumb mixture, pressing crumbs to adhere. Arrange chicken rolls seam side down on prepared baking sheet. (Can be prepared 8 hours ahead. Cover and refrigerate.)
Bake chicken until cooked through and coating is crisp, about 15 minutes.