Cut a deep cross into the top of each fig, nearly to the bottom, then place a piece of mozzarella inside. Wrap a slice of prosciutto around each fig. Brush the prosciutto with a little oil. Transfer to a baking sheet and cook in a preheated oven, 220°C (425°F), Gas Mark 7, for 7–10 minutes or until the ham is crisp and the cheese starts to melt.
Meanwhile, whisk together the balsamic vinegar with the remaining oil and season well. Toss most of the dressing together with the rocket leaves and arrange on plates. Add the figs and drizzle with a little more of the dressing. Serve immediately.