Preheat a grill on high. While waiting, make the herb sauce by combining the basil and cilantro leaves, oil, lime juice, and salt in a mini food processor and blend on high until a smooth mixture forms. Put mixture in a small bowl and set aside.
Once the grill is preheated, grill the watermelon slices for 2-3 minutes on each side, or until softens slightly and grill marks appear. Remove watermelon from the heat and place on a cutting board. Cut the rind off the watermelon and discard. Cut the watermelon into 1" cubes. Place cubes in a large bowl, add the herb mixture, and gently mix until each watermelon cube is lightly coated.
Assemble by taking one toothpick/skewer, add one grilled watermelon cube and top it with one cube of Jalapeño Jack Cheese. Repeat once more so there are 2 pieces of watermelon and 2 pieces of cheese on each skewer. Top with the thinly sliced jalapeño, if desired. Repeat process with remaining watermelon and cheese cubes.
Serve immediately or store covered in the refrigerator until needed.