Heat your oven to 375F (200C).
Using a sharp knife, cut off the stems of the figs. Then cut an X into the stem side about 3/4 of the way (don't cut all the way down or the figs might fall apart). Use your finger to open them up just a little. Drop about a 1/2 teaspoon of cheese into each fig and wrap a strip of ham around the bottom half (leaving a bit of the pretty top half poking though).
Line a baking sheet with parchment or foil (or use a silpat), and arrange the figs on it, leaving a bit of room between them. Sprinkle a bit of thyme and a cracked pepper on each fig.
Roast for about 8 to 12 minutes until the figs soften, the cheese melts and the ham becomes lightly brown. Arrange them on a platter and drizzle them with a little bit of honey and a sprinkle of almonds.