Remove the skin from the chicken legs and debone them. Tenderize each steak thinly. Julienne the rest of the ingredients.
Arrange the steaks onto plastic wrap, slightly overlapping them. Salt and sprinkle with black pepper. Put the julienned pickles, cheese and bacon at one end.
Use the plastic wrap to wrap it up into a tight roll. Tie with thick thread and place it in an oven bag, the edges of which you've cut off. Place in an oven dish and bake at 356°F (180 °C) for about 2 hours.