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MIX cream cheese and mayo in small bowl until well blended. Stir in walnuts.
SPREAD about 2 Tbsp. of the cream cheese mixture onto each of five of the pineapple slices; top each with second pineapple slice to make sandwich. Cover.
REFRIGERATE at least 1 hour. Cut in half to serve. Serve each half on a bed of lettuce, if desired.