In a mixing bowl, combine blue cheese and cream cheese together using the back of a spoon. When nicely blended, add heavy cream and stir until well incorporated.
Using a cocktail pick, remove pimento peppers and set them aside for other recipes (*see footnote).
Fill up a piping bag or a thick re-sealable plastic bag with cheese mixture. Cut off a very small corner and gently squeeze until the olives are stuffed.