Heat grill or grill pan to medium high heat. Halve and pit each apricot. Place apricot halves on a sheet pan and brush with a bit of olive oil and a pinch of salt. Oil grill, then place apricots on grill for 2-3 minutes per side. Let rest for 5 minutes. While apricots are resting, prepare blue cheese and parma ham. Make 12-16 small chunks of blue cheese and set aside in bowl. Slice each piece of parma ham in half.
To assemble, place a chunk of blue cheese in the middle of each apricot half, then add the marcona almond and wrap the ham around each apricot half until secure. Continue to assemble all apricots. You can serve immediately or put under the broiler for 2-3 minutes to crisp up the ham. Watch carefully so it doesn’t burn. Serves 4-6.