Why do I always have a crust to my bread?

Here are some tips to softer crust:

• Add proteins/fats/sugar to your dough (such as milk, sugar, veg oil, shortening, etc)
• No steam when baking!
• Lower baking temps (no higher than 375F)
• Brush crust with butter after baking

Fat

I suggest that once you get about 15 minutes into the baking time, you cover the rolls in foil or put a foil tin on top of them. I could be wrong about its overall effect but I do know that it means that the crust will not brown as much as it usually would which should help it be softer.  As others said, the addition of fat can help- try substituting some of the water in the recipe for milk. Potatoes also soften the crumb of a bread though they do have a subtle effect on the flavour in sufficient quantities. Either try incorporating a small amount of mashed potato or you can use a few tablespoons of instant mashed potato mix which also helps.  

More butter!

I used about 40g per 500g of flour.
Hydration also, make sure your dough isnt too dry when you start kneading. Obviously you dont want a sticky mess, but a little stickiness* will be fine as it goes fairly rapidly when kneading.

Also, lower the heat on the oven a bit.

And once they are cooked, rubbing a small amount of butter over the top of each one helped me.

Small tips I found on these boards that all helped, and I ended up with a wonderful soft roll. Lovely :)

... on the top of the bread when it cools. This captures the moist heat as the bread cools and will help keep the crust soft. Use a woven, cotten or linen dishtowel, preferrably a less expensive one with a slightly open weave.

All the previous suggestions are great, by the way. This is just one more.