1. Combine first 3 ingredients in a medium saucepan. Cook, covered, over low heat 25 minutes or until figs are plump and softened. Remove from heat; let figs soak at least 1 hour or overnight.*
2. Remove figs from wine with slotted spoon; pat dry with paper towel. Cut an X halfway through bottom of each fig. Gently open bottom of fig, and place a walnut piece and chunk of cheese in opening. Gently push back together; place cut side down. Wrap a slice of proscuitto around fig so top still shows. Line a serving platter with fresh fig leaves, if available; place figs on leaves, and serve.
*Figs are best if marinated 1 to 2 days ahead. Place in a tightly sealed container, and refrigerate.