Preheat grill to medium-high or preheat oven to 350 degrees F.
Cut out 4 rectangles of foil large enough to wrap each zucchini, and drizzle a little oil on each piece of foil.
Cut a thin triangular slit along the length of each zucchini, and remove the extra (you can snack on this little extra bit).
Insert pieces of the cheese into the slits in the zucchini. Sprinkle with some herbs, black pepper, and salt. Drizzle each zucchini with a little oil.
Wrap each zucchini in the prepared foil. If grilling: place the wrapped zucchini directly on the grill grates, and close the lid of the grill. Cook for about 25 minutes, or until you can hear the oil sizzling and the zucchini is tender. If baking: place the wrapped zucchini in a large casserole dish or on a baking sheets, and bake in the 350 degree oven for about 30 minutes, or until you can hear the oil sizzling and the zucchini is tender.
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