Preheat the oven to 325 degrees.
In a small bowl, combine the yeast with the molasses and warm water. Set aside in a warm place until the yeast starts to foam, about 5 to 10 minutes.
Prepare the zest by lightly grating the outer peel of the orange and lemon against the fine grate of a cheese grater. Use only the colored part of the rind; the underlying white portion is bitter.
In a large bowl or in the food processor, combine the flours, salt, and baking soda. Stir in the orange zest, lemon zest, and rosemary and mix well. Add the oil, egg, and orange juice and mix well. Add the yeast mixture and mix until well blended.
Knead well by hand for about 5 minutes on a lightly floured surface until the dough is smooth and springy to the touch. Place the dough in a large, lightly oiled bowl and turn over to coat all sides. Cover with a damp towel and set in a warm place until the dough has doubled in bulk, about 1-1/2 to 2 hours.
Punch the dough down and turn out onto a lightly floured surface or pastry cloth. With a sharp knife, divide the dough into 12 small pieces. With your hands, roll each piece into a stick approximately 12 inches long. You will have a more even-looking stick if you place the dough on a firm surface and roll your hands across the top, moving from the center outward.
Place the sticks 1 inch apart on a baking sheet that has been lightly sprinkled with cornmeal. Cover the sheet with a towel and let the sticks rise slightly in a warm place for 10 to 15 minutes.
Brush the tops of the sticks with the lightly beaten egg mixture and sprinkle with coarse salt. If desired, sprinkle with chopped rosemary for additional flavor.
Bake for 30 to 35 minutes, or until well browned.