Use a sharp knife to pry open walnut shells. Clean out nut and casings. Reserve shells.
Place walnut halves on a baking sheet and roast for approximately 5 minutes, or until browned and toasted. Let cool to room temperature.
Sandwich 1 teaspoon of cheese between 2 walnut halves. Place mini walnut sandwich upright in a walnut shell. To serve, spread sugar on a plate. Set walnut shells on sugar. Drizzle honey over the top each mini walnut sandwich. Serve immediately.