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Heat the grill to medium. Wrap each fillet of fish in a slice of prosciutto and drizzle with a little olive oil. Place on a baking tray and grill for 6-8 mins, turning once, until the prosciutto is crisp and the fish is just cooked through.
While the fish is cooking, tip the lentils, capers, samphire and olive oil into a small saucepan and gently heat through, adding the lemon juice and seasoning to taste. Serve the fish with the lentils, lemon wedges, a dollop of yogurt and a drizzle of olive oil.