Heat closed contact grill 5 minutes.
Place hot dogs on grill, close grill; grill 2 to 3 minutes or until hot.
On bottom half of bun, layer cheese, pickle slice, hot dog and ham. Spread mustard on cut side of top bun if desired.
Place filled buns on grill. Close grill; grill 3 to 4 minutes or until cheese is melted and bun is golden brown.