1. Cook mussels in boiling water until they open, discard any that don't open.
2. Remove meat from shells and trim beard.
3. Place mussel meat with a little juice into a small bowl and cover with Worcestershire sauce.
4. Leave in refrigerator around 30 minutes to marinate, lightly turning occasionally.
5. Wrap each mussel with a slice of ham (just tear apart with your fingers) and thread onto the skewers.
6. Place on BBQ plate or grill over low-medium temperature and pour over remaining marinade.
7. Cook for a few minutes each side until ham is lightly browned.