Preheat the oven to 375°F, or light a fire in a gas or charcoal grill.
Sprinkle pepper evenly on both sides of the goat cheese rounds, pressing gently to make it stick.
Drizzle the goat cheese with the olive oil and set aside in cool place for at least 1 hour.
If using brined grape leaves, trim stems, rinse the leaves thoroughly, and pat dry.
If using fresh grape leaves, choose unblemished, flexible leaves and rinse them thoroughly but do not trim.
Place grape leaves, top-side down, on a work surface.
Center a cheese on each leaf and wrap loosely.
Bake the leaf packages on a baking sheet for 6 to 8 minutes, or grill for 2 to 3 minutes on each side.
Serve at once.