Cut a slit into the sides of the figs. Fill the slit with blue cheese and sprinkle in a pinch of rosemary.
Cut the prosciutto slices in half and wrap one-half slice around each fig. Brush with olive oil and grill over a low heat until warmed through, about 4 minutes.
Remove from the heat and arrange on a serving plate, sprinkle with hazelnuts and serve while warm.