Definitely support rolled collars! I guess its time for me to promote my favourite collars. It's been a couple of months, at least, since I did it last?
http://www.leashesbydesign.com/Collars/Martingales/martingales.html
My collars are like pictures 16 and 18 (in fact, I think those are my actual collars!) They are very fine, and so is the chain - 1/4". The collar hangs loose on their neck when not attached to a leash (no rubbing), and when measured correctly, tightens just enough when attached to a leash to avoid head slippage, without choking.
As these are non-adjustable, you want to wait until pup is just about full size before you order.
I keep collars on my dogs all the time. I need something to grab in case they decide to do a Houdini when I open the front door. I've just ordered tags (the celtic design I was looking at on another thread) and that will just increase my comfort level further!