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Preheat the oven to 190°C or Gas Mark 5.
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Cut through the deepest part of each chicken fillet using a sharp knife to create a pocket.
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Spread 1 teaspoon of soft cheese into each pocket and reserve the rest.
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Wrap 2-3 slices of bacon or ham tightly around each fillet.
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Place on a foil lined baking tray and bake for 35-40 minutes until cooked through.
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When the chicken is almost cooked, place the rest of the soft cheese and the milk into a small pan and heat very gently until the cheese has melted. Stir to make a smooth sauce.
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Serve the sauce separately.
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