Build a charcoal fire on an outdoor grill for both direct and indirect cooking using Kingsford® briquets by situating the briquets on only one side of the grill, leaving the other side void. Close the grill lid and preheat to medium heat (about 375°F). Brush grill grate with oil.
Lay 4 bread slices down on a work surface. Top each with two slices of ham, followed by 2 slices of tomato, a slice of cheese and the remaining ham. Spread mustard over the remaining slices and top the sandwiches, mustard side down.
Brush the outsides of the bread with olive oil. Place gently on the grill, and top with a weight (a cast iron pan works well, or another heavy pan with a big rock or brick). Grill for about two minutes, then flip and grill for 2–3 minutes more, taking care not to burn the bread. The cheese should be melted and the bread nicely toasted. Cut bocadillos in half and serve immediately. Enjoy!