1. Combine first 6 ingredients; mix well. Set aside.
2. Prepare grill.
3. Cut swordfish fillet into 4 equal pieces; cut a pocket in each piece, cutting to, but not through, remaining 3 sides. Place cheese slices in fish pockets; secure openings with wooden picks. Coat fillets with cooking spray; dredge in crumb mixture.
4. Coat grill rack with cooking spray; place on grill over medium-hot coals (350° to 400°). Place fish on rack; grill, covered, 5 minutes on each side or until fish flakes easily when tested with a fork. Serve immediately.