To prepare, combine the first 6 ingredients, mix thoroughly. Set aside.
Cut swordfish fillet into 4 equal pieces, cut a pocket in each piece, cutting to, but not through, remaining 3 sides. Place cheese slices in fish pockets, secure openings with wooden toothpicks. Coat fillets with cooking spray, dredge in crumb mixture.
Coat grill rack with cooking spray, place on grill over medium-hot coals (350 - 400 degrees). Place fish on rack, grill, covered, 5 minutes on each side or until fish flakes easily when tested with a fork.