Preheat the oven to 180°C, fan 160°C, gas mark 4. Cut a cross in the top of each of the fresh figs, making sure you do not cut all the way through.
Press a wedge of Cambozola cheese into each cross, and place the figs on a baking tray, and bake in the preheated oven for 3-4 minutes until the cheese starts to melt.
Meanwhile, simmer the port and the lemon juice in a small pan until reduced by half. Stir in a knob of unsalted butter until smooth.
Place 2 figs on each plate, then pour over a little of the Port sauce. Serve with wild rocket leaves for a deliciously warming starter.