Cut the gorgonzola into 24 longish pieces. Cut the ham slices in half lengthwise. Cut dates lengthwise and remove the stones. Fill dates with gorgonzola and wrap 1/2 slice of ham around each date.
Heat 1 tablespoon of oil in a large frying pan. Fry the dates in it for about 4 minutes until the ham is crispy. Drain on kitchen paper and pin them with small skewers if necessary.
Clean, wash, shake dry and cut rocket into very fine strips. Season vinegar with salt, pepper and 1 pinch of sugar. Fold in 3 tablespoons of oil. Mix salad and vinaigrette and spread on small glasses or plates.
Arrange the ham dates on top.