I actually knew a guy who did construction work, primarily building houses in subdivisions. One reason they switched to PVC and plastic pipes for plumbing is the high cost of copper now but he said another reason when it was even cheaper and still used at times was because people would rip them off within the empty unfinished houses. You'd be surprised, I can place anything metal at the end of my driveway and it's gone within a day or two from metal scrappers roaming the areas.
I only roll them up when I don't have any other coins to be going through. I guess you could sell them by weight instead of face value though. and if you don't like the extra work and expense you probably should look for silver coins instead... as you can see copper pennies aren't really profitable after you factor in the huge amount of time you need to take to go sort them and how many you need to get before you can make a profit. My goal is to get 100 full boxes before they lift the melting ban haha.