Trim the leeks and cut each leek in half on the diagonal, so you are left with 12 leek pieces.
Season with salt and pepper and place into an oven proof dish. Drizzle with the olive oil and place into the oven to roast for 25 minutes, or until tender.
When cooked, remove the leeks from the oven and peel off the crisp outer layer of the leek. Wrap a piece of ham over each half of leek.
To make the vinaigrette, whisk together the mustard and the vinegar. Add the thyme, crushed garlic and lemon juice. Gradually add the olive oil, whisking continuously. Season, to taste, with salt and pepper.
To serve, place three ham-wrapped leeks on each plate. Drizzle the vinaigrette over the leeks and top with parmesan shavings.