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Heat a panini pan and press over medium heat.
To assemble: Spread one slice of the bread with half the fig preserves and top with half of the slices of cheese and 2 to 3 slices of prosciutto. Spread half the radicchio over the prosciutto and top with the bread. Press down and brush the outside of the bread with the oil. Slice in half. Press in the panini pan until the bread is brown and the cheese is melted. Repeat with the other roll.