Make a small incision along one side of each date, making sure to leave the majority intact so that it can close back up easily. You basically want to leave a large "hinge" to the back of the date. Pull out the small pits inside and discard. Set aside the prepared dates.
With a fork, combine the mascarpone cheese with the crumbled blue cheese in a small bowl. As the intensity of blue cheese varieties can vary, I recommend adding half the blue cheese to the mascarpone to start, and adding a little more at a time, tasting as you go in order to come to your preferred flavor for the filling. When satisfied with the taste, stuff each date with a small spoonful of filling, closing the date around it so that only a little strip of filling can be seen.
Slice or neatly tear the prosciutto slices into long strips about half the width of each date. Wrap each date with the strips of prosciutto, and secure with a toothpick. Add more or less prosciutto to your taste (I personally like more, but I’m also a fiend for the saltiness it adds to each bite). These can be served right away, or stored in the fridge in an airtight container overnight. Serve arranged on a pretty platter.