Breeze,
I make the same thing, but I pound the thighs to about 1/4"-1/3" thick...
and prefer Gruyere Cheese, I also use Proscutto instead of ham...
(I like Gouda or Swiss also, but the Gruyere melts better for this dish goes really well with the proscutto)...
I also hold them together with toothpicks...
and then put two-three into a mini-loaf pan to cook, so the cheese doesn't run out the ends...
Not packed too tight, but so there's a little space between each...