Rosaria’s Fingers is one of the new covenants introduced in Dark Souls III. Before you can be a part of it, you have to find the covenant item and equip it. After reaching the Cathedral of the Deep and unlocking the second shortcut that leads back to the main bonfire, take that second shortcut (the left door from the bonfire), and ride the elevator all the way to the top. Kill the archer, go through the gap in the wall, and turn left to find a ladder that leads upwards.
At the top of the ladder, you’ll see a mage. Kill him and next to where he was standing, you should see a gap that leads outside. Jump off the building and land on the narrow blue roof. Follow the roof up, turn right, and then start hugging the left wall. There should be an opening that leads you to the rafters atop the Cathedral of the Deep. There will be two knights on your left. Go to where the first knight on your left is standing and look down. You should see some wooden railings and wooden platform that you can land on. Drop there.
Follow the linear path and dispatch of the gross white slugs in your way. The final white slug at the end of the room will drop the Red Soapstone, which allows you to leave your dueling sign on the ground and be summoned into other worlds as an invader. To your right, you should see an opening that takes you into a large hallway. At the end of the hallway, you’ll find Rosaria. Talk to her to obtain the Rosaria’s Fingers covenant item.
Open your menu to equip the item, and you’ll officially be part of the Rosaria’s Fingers covenant.
Be sure to check out our Dark Souls III wiki for more tips and tricks.