Assemble sandwiches: Slice rolls, horizontally. Spread the top side of the bottom roll with horseradish sauce. Add the beef, then cheese, and top with pickled red onions. Close sandwich.

Place on panini press and grill until sandwich is heated through or alternatively, place in a heavy pan over medium-high heat, weighing down with another pan, using something heavy in the top pan to add additional weight if necessary. Use medium-high heat; turn after grill marks are achieved and do the same on the other side. Wrap if desired, in wax or parchment paper after.