1. In a bowl, mash blue cheese and cream cheese with a fork until smooth.
2. Fill each date cavity with a rounded 1/2 teaspoon cheese mixture.
3. Wrap each half with a strip of prosciutto.
4. Warm oil and water in a small to medium dutch oven or skillet.
5. Add dates and cook, covered, until warmed through and softened for about 3 minutes.