Soak the dates in the sherry for 2 hours, making sure they're fully submerged.
Meanwhile, place the blue cheese in a small zip-top bag, then snip one corner off the bag, leaving about a 1/2-inch opening. Leave at room temperature until ready to fill the dates.
Heat a toaster oven to 450°F and place a rack in a quarter sheet pan or use the pan that came with your toaster oven, if applicable (see note).
Drain but do not rinse the dates. Use a pair of scissors to open each date lengthwise.
Pipe roughly 1/2 teaspoon of the cheese into each date, then wrap with a piece of bacon. Place the wrapped dates on the rack, bacon ends down, and gently press to anchor.
Bake until the bacon is brown and crispy, about 15 minutes. Cool for 5 minutes before serving.