Using a small knife, butterfly the shrimp lengthwise, slicing about halfway through. Mix together the chevre, garlic, rosemary and pepper. Dab about 1/2 teaspoons of the mixture into the sliced pocket of each shrimp, wrap with a piece of prosciutto, and place on a parchment-lined baking sheet. When all the shrimp have been stuffed and wrapped, drizzle them with the olive oil, crack a little pepper over top, wrap well and refrigerate until needed.
When it's cooking time, preheat the oven to 425'. Cook until the shrimp are pink and beginning to curl, about 5 minutes. Serve hot or at room temperature.