Debone the chicken thighs. Cut the pickles into strips, the mushrooms too. Begin to arrange 2 strips of pickles and mushrooms on the deboned thighs. Add one tablespoon of cream cheese with salt. Add salt and pepper to taste. Do this with all 4 pieces.
Roll them carefully, leaving the part where they are joined on the bottom. Brush a tray with oil and arrange the rolls next to each other. The remaining cream cheese is sandwiched between them.
Wrap the tray with foil. Bake in a preheated oven at 662°F (350 °C) for about 25-30 minutes. Remove the foil and roast until golden brown - about 5-6 minutes.