Clean the nopales of any remaining spines by placing each segment on a flat surface and running the back side of your knife from the top to the bottom. Be sure to get all around the edges as well. Once you've removed all the spines, wash them off and dry them.
Brush the nopales with olive oil and sprinkle some salt on each one. Put them on a grill or under a broiler until cooked through and lightly browned.
Slice each segment into bite size pieces and top with a piece of Roquefort and a drizzle of agave nectar.