Instructions

• Prepare the grill for direct cooking over medium heat (375° to 425°F).
  Prepare the grill for cooking over medium heat (400°F).
• In a small bowl whisk the vinegar, garlic, salt, and pepper. Slowly add the oil, whisking constantly until the vinaigrette is emulsified.
• Brush the cooking grates clean. Grill the pepper wedges, skin side down, over direct medium heat, with the lid closed, until they are softened but not limp and the skins are blackened and blistered, 10 to 12 minutes (do not turn). Transfer to a rimmed platter and, when cool enough to handle, peel away and discard the charred skin. Drizzle the peppers with about half of the vinaigrette and marinate at room temperature for at least 30 minutes or up to 2 hours.
  Brush the cooking grates clean. Grill the pepper wedges, skin side down, over medium heat, with the lid closed, until they are softened but not limp and the skins are blackened and blistered, 10 to 12 minutes (do not turn). Transfer to a rimmed platter and, when cool enough to handle, peel away and discard the charred skin. Drizzle the peppers with about half of the vinaigrette and marinate at room temperature for at least 30 minutes or up to 2 hours.
• In a heavy, medium nonstick skillet over medium heat on the stove, warm 1 tablespoon oil. Add the anchovies and stir until they dissolve, about 1 minute. Add the bread crumbs and garlic and stir constantly until the crumbs are crisp and golden, 4 to 5 minutes, scraping the bottom of the pan to prevent sticking and burning. Mix in the almonds, parsley, rosemary, and pepper. Transfer the crumbs to a plate and let cool.
• Lay the ham slices out on a work surface. Place one pepper wedge crosswise on each ham strip, about 3 inches from one end. Top each pepper with a cheese shaving, and then divide the crumb mixture between the pepper slices. Fold the shorter ham end over the pepper and roll everything up to enclose the filling completely. Place the rolls seam side down on a platter. Drizzle some of the remaining vinaigrette over the rolls. Serve at room temperature.