Peel and devein the shrimp, leaving tails on. Sprinkle with salt and pepper and coat in olive oil. (If using wooden skewers, soak in water for 30 minutes to prevent burning).
Wrap each shrimp with a piece of ham, about two inches long, and skewer the shrimp so the ham is held securely around the shrimp. Place the skewers over a high temperature, grill and cook for 2 minutes per side, or until the shrimp is opaque. Serve immediately.