COMBINE cheese and pesto in small bowl; set aside.
PLACE radicchio leaves in 16 stacks of two, placing smaller leaves on top of larger leaves. Divide cheese mixture evenly between radicchio leaf stacks. Roll leaves tightly around cheese mixture and thread 4 radicchio rolls onto each skewer. Brush with oil.
PREHEAT grill to medium heat; brush with oil.
GRILL radicchio skewers for 2 to 3 minutes per side or until lightly browned and tender.
NOTE: If using wooden skewers, soak in water for 30 minutes before threading.