Your problem is that you are rolling a piece of metal that is
larger than the groove in your rolling mill. The metal is mashing
out the sides of the groove. You have to get your metal a bit
smaller. Try to hammer it down a bit before rolling it through.
Another way is to mash down the fins, rotate the gold 90 degrees
and roll it through again. That will get you down to a size small
enough to get through the rolling mill. Take a few more passes
through the mill until you are about 25% to 50% narrower.
The metal is NOT suitable for wire yet. The fins are still
there, just folded over. Get out your torch and with a small, hot
flame, melt the surface of the wire. Then you will have a nice
solid , but bumpy, peice of metal. But it will be of a size that
will fit through the rolling mill without getting the fins. Roll
it down to size and pull it through the drawplate. I have been
successful with making wire from metal that was originally much
too large for the rolling mill.