Preheat grill to high heat.
Pick out 12 nice-looking baby romaine leaves. Clean and dry them. Set them onto a cutting board.
Fill the four smallest of the leaves with the blue cheese, tomatoes, bacon and olives.
Wrap two larger leaves around the leaves with the filling and tie with a piece of string. Brush with olive oil.
Grill for 1-2 minutes, turning half way through. Remove from grill.
Drizzle Dijon vinaigrette over the top and garnish with extra tomatoes, blue cheese, olives, and bacon.