Insert a sharp paring knife into the thicker end of each chicken breast half and cut a lengthwise pocket carefully, making it as wide as possible without puncturing the sides.
Wrap each stick of Saga Blue in a ham slice, enclosing it.
Insert the ham-wrapped Saga Blue cheese into the chicken pockets, and seal each opening well with a wooden pick.
In a small saucepan bring the Worcestershire sauce and the lemon juice just to a simmer, remove the pan from the heat, and swirl in the butter.
Grill the chicken, seasoned with salt and pepper, on an oiled rack set about 6 inches over glowing coals, basting it frequently with the sauce, for 12 minutes on each side.
(Do not baste the chicken during the last 2 minutes of grilling, and discard any unused sauce.)