In a large bowl, combine the whole wheat flour, sugar, yeast and salt; set aside. In a large saucepan, heat milk, water and butter to 120°-130° add to dry ingredients; beat just until moistened. Add egg; beat until smooth. Stir in enough all-purpose flour to form a soft dough.
Turn onto a floured surface and knead until smooth and elastic, about 6-8 minutes. Place in a greased bowl; turn once to grease top. Cover and let rise in a warm place until doubled, about 1 hour.
Punch dough down; shape into 12 balls. Place in a greased 9-in. square baking pan. Cover and let rise until doubled, about 1 hour.
Meanwhile, preheat oven 400°. If desired, brush tops of rolls with oil. Bake until golden brown, 15-20 minutes. Cover loosely with foil if top browns too quickly. Remove from pan to a wire rack to cool.