Thanks for the advice.
I'll be attempting it somewhere between now and the weekend. Been reading up on it quite a bit and it doesn't seem to be that easy... Especially keeping the filling inside and also getting moist chicken.
It is deceivingly difficult to make proper, home-made cordon bleu. BTW, it can be made with pork, turkey, beef etc. but chicken cordon bleu is still the defacto.
Here are some tips from my own personal experience:
Use an incredibly sharp knife to make the incision in the chicken. Do not cut too deep, but cutting too shallow will result in the contents leaking out. This is a bit of a trial and error issue.
If you're going for the traditional ham and cheese, then wrap the cheese inside the ham by folding it. This way the cheese will cook last and hopefully not run out.
Double bread the chicken. So do the first coat (with flour first, then egg, then breadcrumbs) and allow to cool in the fridge. Cooling in the fridge will allow the coating to "seal" better. If you skip this step you are likely to have a coating that falls off easily. You need the proteins in the egg to bind a little to the protein in the chicken. Then shortly before cooking, dredge in egg and breadcrumbs again.
Shallow fry over medium heat, and do not turn until you are sure the coating is cooked properly, or you will lose it. Try to only turn once.
If you're going for a garlic butter filling, then make your garlic butter by slowly melting butter. You have to actually soften it, and not melt it. If you overdo this then the butter separates and you won't have a decent filling. Then mix in dried herbs and garlic. Then freeze it. If you freeze it, it won't all melt immediately when you cook the chicken.
Then follow the same procedure as before.
Good luck...