If you're making oven-roasted Brussels sprouts, cooking them with parchment paper is best. It will help the roast Brussels sprouts from sticking to the pan.   If you're making oven-roasted Brussels sprouts, cooking them with parchment paper is best. It will help the roast Brussels sprouts from sticking to the pan. Serve these yummy Brussel sprouts with recipes like Christmas Dinner, Slow Cooker Gammon Joint, or Goats Cheese Tart with Roasted Cherry Tomatoes.