With a small paring knife, slit each date lengthwise and spread open just enough to remove the pit while leaving the date intact. Fill the cavity of each date with a small piece of blue cheese and fold the date over the cheese, pressing it back into its original shape.
Cut a strip of prosciutto as wide as each date is long and wrap it around twice, enclosing the date almost completely. Place the dates on a sheet pan and bake for about 8 minutes, until the prosciutto is browned and the cheese starts to melt.
Cool slightly and serve warm.
Look for dried Medjool dates in the produce section of your grocery store; they will be the freshest.