Heat grill to medium heat.
Drain pickles on paper towels. Meanwhile, cut each cheese slice into 6 pieces. Mix cream cheese, chili sauce and pepper until blended.
Top each of 24 crackers with 1 cheese piece, 1/2 tsp. cream cheese mixture, 1 ham piece and 1 pickle; cover with second cheese piece. Top with remaining crackers to make sandwiches.
Wrap 6 sandwiches in heavy-duty foil. Repeat with remaining sandwiches to make 4 packets. (If desired, place in cooler for transporting to tailgating party or other destination.)
Grill packets 8 to 10 min. or until cheese begins to melt, turning after each minute.