Prepare a grill or grill pan for medium-high heat.
Divide the ground beef into 12 portions (about 2 ounces each). Pat each into a 1/2-inch-thick patty and make an indentation in the center with your thumb so the patties keep their shape while cooking. Sprinkle with salt and a few grinds of pepper.
Brush the grill grates or grill pan with oil. Grill the patties, turning once, until nicely browned but still a bit pink inside, 2 to 3 minutes per side. Top each patty with a piece of cheese and grill until melted, about 1 minute.
Arrange the sweet rolls cut-side up on a cutting board or large serving platter. Spread some ketchup, mayonnaise and mustard on each roll bottom. Top with a piece of lettuce and a burger patty. Put a pickle on each patty and sandwich with the remaining roll tops.
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