Philadelphia Roll (or Philly Roll) - an easy step-by-step tutorial that shows you how to make a Philadelphia Roll right in your own kitchen! Grab your fillings and let's start rolling! A Philadelphia Sushi Rolls, also called Philly Rolls, are when the perfect combination of smoked salmon, cream cheese, and cucumber are all rolled up together to make one of the most delicious sushi rolls ever created. This is an easy homemade step-by-step recipe!