1. With a sharp knife, cut a slice of prosciutto into rectangular strips about 1″ x 2″ (3 cm x 5 cm).
2. Cut the feta into bâtons approximately the same width as the ham slices.
3. Make thin slices of a few leaves of a fresh herb, if using.
4. Take a piece of feta, rest it on the narrowest edge of a rectangle of prosciutto along with a sliver of herbs, and tightly it up, pressing it to make sure it stays together.
5. Set the roll in a dish, and continue, using the rest of the prosciutto and feta.
6. Once finished, douse the rolls with enough olive oil so that they’re saturated and nearly fully immersed in the olive oil.
7. Serve, or refrigerate until ready to serve. If refrigerated, let come to room temperature before serving.