Rocchiccioli claimed 5-62 on Saturday to help dismiss the Blues for 232, before Western Australia went to stumps on day one at 1-33. Both sides are out of contention for the final.
Overlooked for an Ashes Test debut by Australia's selectors when Nathan Lyon was injured, Rocchiccioli has been the best spinner in the Shield this summer.
The 28-year-old offspinner has taken 36 wickets at 26.27 this season, ahead of a summer where Australia will tour spin-friendly India again in January and February.
He removed NSW's two top-scorers, Matthew Gilkes (51) and Josh Philippe (52), Â at Sydney's Cricket Central, with the latter beaten in flight and caught at long off.
Having produced a brilliant caught and bowled to dismiss opener Will Salzman (9), he also benefited from a smart reflex catch from Cameron Bancroft at short leg to have Lachlan Shaw for 22.
Quick Albert Esterhuysen took 2-44 in his second Shield match, following his 4-37 on debut against Queensland last week.
Esterhuysen also took a nice low return catch to have Joel Davies caught and bowled for eight, midway through a NSW collapse of 7-98.
It came after the seamer's first wicket of opener Sam Konstas for 38, marking the Test discard's 10th straight score below 50 across all formats since the end of the Big Bash.
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