Using a paring knife, carefully trim any tough portion of the stems from each fig. Rub each fig all over with extra-virgin olive oil, then slice down through the stem about 3/4 inches. Make a second cut perpendicular to the first cut, so that you have an X-shaped cut in the top of each fig. Gently pry the edges apart and stuff each fig with about 1 teaspoon of the Gorgonzola.
Place the figs upright on a baking sheet and bake until the figs are plump and shiny but have not burst, about 10 minutes.
Drizzle equal amounts of the honey onto each of 4 serving plates and place the figs on top of the honey. Sprinkle each plate with a pinch of the chopped rosemary and some of the remaining Gorgonzola. Serve immediately.