Let the cream cheese sit at room temperature for at least 30 minutes before you make these.
Cut dill pickles lengthwise into fourths or sixths, depending on how thick the pickles are. You need as many cut pickle spears as you have ham slices.
Spread each slice of ham with a very thing layer of cream cheese, about 1 tablespoon. Put a dill pickle on the edge of each ham slice and trim the ham if it's much bigger than the dill pickle spear. Roll up the ham around the dill pickle, then place toothpicks where you want each piece to be cut. Cut into pieces so that each piece has a toothpick. Arrange on plate and serve.