Overlap two pieces of cling film over a large chopping board. Lay 12 slices prosciutto on the cling film, slightly overlapping, in a double row. Spread half the duxelles over the prosciutto, then sit the fillet on it and spread the remaining duxelles over.
Use the cling film’s edges to draw the prosciutto around the fillet, then roll it into a sausage shape, twisting the ends of cling film to tighten it as you go. Chill the fillet while you roll out the pastry.