This sounds like tortrix moth. These moth caterpillars roll leaves around themselves to protect themselves - a very successful strategy. Carnation tortrix moth is known to attack many different plant species, including herbs, and can over-winter as a caterpillar, so could be active on your rosemary now. Chemicals that work by contact with pests don't work on tortrix as it protects itself with plant material. I wouldn't want to advise a systemic insecticide on a plant you might eat, so your best, although difficult solution is to cut off all the curled ends that you can find. You need to be very vigilant. This pest is difficult to control and you will not want it spreading to other plants. However, at least the curled ends give you a clue as to where it is.