Preheat oven to 350°. Place garlic on piece of foil; drizzle with olive oil. Enclose garlic in foil. Bake until garlic is very soft, about 1 hour. Cool. Squeeze garlic cloves out from papery skins into medium bowl; mash garlic with fork. Mix in butter, cheese, and parsley. Season with salt and pepper. Transfer Gorgonzola butter to sheet of plastic wrap. Using plastic wrap as aid, form butter into 1 1/4-inch-diameter log, wrapping plastic tightly around butter. Chill until firm. (Can be made 2 days ahead; keep chilled.) Cut into 1/2-inch-thick rounds.