Place each cutlet between 2 sheets of heavy-duty plastic wrap; pound to 1/4-inch thickness using a meat mallet or small heavy skillet. Sprinkle both sides of each cutlet with salt and pepper. Divide prosciutto into 4 equal portions; place 1 portion in the center of each cutlet. Sprinkle each portion with 1/2 teaspoon sage. Roll up cutlets, jelly-roll fashion, starting with narrow end.
Heat oil in a large nonstick skillet over medium-high heat. Add cutlets to pan; cook 6 minutes or until thoroughly cooked, turning to brown on all sides. Remove cutlets from pan; cover and keep warm. Reduce heat to medium-low. Add shallots to pan; cook 2 minutes, stirring occasionally. Add wine; bring to a simmer. Cook 30 seconds. Serve with cutlets.