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Preheat the oven to 350°F.
Place walnuts in a single layer on a large rimmed baking sheet.
Bake until golden and aromatic, about 12 minutes, stirring once halfway through cooking time. Set aside to cool.
Place walnuts in a food processor.
Pulse several times until they resemble bread crumbs, taking care not to overchop.
Return walnut crumbs to the bowl.
Wipe out the food processor and add cheese, cream and milk.
Process until smooth and scrape into another medium bowl.
Cover a large rimmed baking sheet with parchment paper.
Pierce each grape with a toothpick.
One at a time, dip a grape into the blue cheese mixture and then into the walnut crumbs.
Use your hand to cover grape evenly with walnut crumbs.
Arrange grape on the prepared baking sheet.
Repeat with remaining grapes and refrigerate until ready to serve.
Note: Mix any leftover blue cheese mixture with the remaining walnut crumbs, thin it with a bit of milk for a salad dressing or a dip for crudités or chips.