Slice open all the dates. Fill each with ½ tablespoon of blue cheese and 1 teaspoon chopped walnuts. Press the mixture in a bit so it fills in the inside of the date. Close the dates as best you can so the cheese is tucked away inside.
Slice the pieces of prosciutto in half. Fold each piece over, so it is roughly the same width as the date. Lay a date on each piece of prosciutto and wrap the prosciutto around it. Secure it closed with a toothpick. You can serve and eat the dates now if you'd like, or you can go on to the next step to get crispy prosciutto with melty blue cheese.
Set the wrapped dates on an oven-safe cooling rack set on a baking sheet. This allows any cheese that may bubble out to drip off instead of sticking to the date.
Bake in preheated oven for 10-12 minutes, watching closely near the end to make sure they don't overcook. Remove from the oven when the prosciutto begins to get crispy, and serve while the stuffed dates are still warm.
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Notes
To Make Ahead: Prepare the stuffed dates and wrap each with prosciutto. Set them in an airtight container or on a plate covered with plastic wrap, then refrigerate for up to 2 days. Bake just before serving.
You can substitute blue cheese with any creamy, meltable cheese crumbles, such as goat cheese, Manchego, or feta.
I think the date appetizers taste best when they're baked and warm, but they can be served unbaked as well.
The best way to make this recipe is assembly line style. Stuff all of the dates with blue cheese and walnuts, then wrap them in prosciutto. If you stuff and wrap the appetizers one at a time, things get messy very quickly.