Preheat the oven to 350° F. Place the walnuts on a large, rimmed baking sheet and roast in the oven for 10-12 minutes, stirring once halfway through baking. Remove from the oven and allow to cool.
Once cooled, place the walnuts in a food processor. Pulse until they resemble bread crumbs, being careful not to over process. Transfer the chopped nuts to a bowl.
Wipe out the bowl of the food processor. Combine the cheese, cream, milk, and salt and process until smooth. Transfer the mixture to a bowl.
When ready to assemble, pierce a grape with a wooden skewer. Dip the grape into the blue cheese mixture and then into the walnut crumbs. Place the grape on a platter or sheet pan and repeat with remaining grapes. Refrigerate for at least two hours or until well-chilled. Enjoy!