Select your unit, go to Combat - Weapon type and set it to Missile (Splash)
A bit higher you have Combat - Attack 1 - Area of Effect (Full, Medium, Small). Set those to whatever value you want, look at the mortar team for a reference on the numbers.
Set Combat - Attack 1 - Area of Effects targets to whatever targets you want. Again, look at the Mortar Team.
If you want the rocket soldier to be able to ground attack, set weapon type to artillery.