Start a fire in a charcoal grill, or pre-heat a gas grill.
Combine bread crumbs, capers, olives, garlic, parsley, salt and pepper in a bowl. Add 2 tablespoons of the olive oil and mix well.
Place each swordfish steak between two pieces of wax paper and pound gently with the flat end of a meat pounder to 1/4 inch thickness. Cut each steak in half.
Place one-eighth of the bread-crumb mixture near one end of each piece of fish and roll it up as neatly as possible, tucking in the ends. Thread the fish onto a pair of wooden skewers held parallel to each other, 4 rolls per pair of skewers.
Brush the fish with the remaining olive oil and grill over high heat until firm to the touch, 8-10 minutes, turning once.
Remove rolls from skewers and serve with lemon wedges.