Pour the milk into a saucepan, add the cloves, peppercorns, shallot and bay leaf. Bring to a light simmer over a moderate heat for 10 minutes.
Add the proscuitto. Cook for a further 2 minutes, stirring constantly then remove from the heat.
In a separate saucepan, melt the butter over a moderate heat. Stir in the flour to create a crumbly texture. Cook, stirring constantly for about 4-5 minutes. Remove from the heat Then pour in half the ham/milk mixture. Stir well. Pour in the remaining mixture and stir again. Spoon the sticky mixture onto a plate and smooth out. Leave to completely cool.
Arrange 2 shallow bowls, one with the beaten egg, the next with the breadcrumbs. Take a small golf ball sized piece of the ham mixture and mould into a croquette shape. Dip into the egg, then roll in the breadcrumbs. Arrange on a plate as you contnue, using up all of the mixture. Cover with plastic wrap and place in the fridge for 1 hour to firm up.
Heat the oil in a saucepan until hot. Drop in 4-5 croquetas and fry until golden brown. Drain on paper towels. Serve hot or cold.
The perfect tapas dish eaten either hot or cold. They can also be made in advance and warmed in the oven for about 15 minutes.