PREHEAT grill to medium-high heat. Cut bottom and top off pineapple, then cut off peel; discard. Cut pineapple lengthwise into thirds; remove cores. Cut each pineapple piece crosswise into four 1-inch wedges; set aside. Tightly roll up each ham slice; cut crosswise in half.
THREAD 1 pineapple wedge, 1 ham piece, 4 shrimp, second ham piece and second pineapple wedge onto each of six 10-inch wooden skewers. Place on grill; brush with half of the barbecue sauce.
GRILL 10 to 12 min. or until shrimp turn pink and pineapple is golden brown, turning occasionally and brushing with the remaining barbecue sauce.