Line a baking sheet with waxed paper.
Add the cream cheese, Roquefort and heavy cream to a medium bowl. Using an electric hand mixer, mix to combine. Put the pecans in a shallow baking dish.
Drop the grapes about 3 at a time into the cheese mixture and cover the grapes completely with it. Roll in the chopped pecans and place on the prepared baking sheet. Refrigerate until chilled, about 1 hour.