In a small bowl, mash and mix the cheese, 2 tablespoons bread crumbs and pepper with a fork. Lay the thighs, smooth side down, on a work surface. Crumble on the cheese mixture, then press to flatten. Roll up the chicken thighs and secure with a sturdy pointed toothpick.
Spray all sides of the chicken bundles with olive oil from a mister or coat with a pastry brush dipped in oil. Spread 2 tablespoons bread crumbs and the salt on a sheet of waxed paper.
Dip the thighs into the crumbs to lightly coat all sides. Shake off excess. Set on a large baking sheet. Mist all sides with oil.