HEAT olive oil in medium saucepan over medium heat. Add onion and cook until tender, about 5 minutes. Stir in flour; cook 1 minute. Stir in milk. Cook until sauce thickens, about 3 minutes, stirring constantly. Stir in cheese, jamon serrano, hot pepper sauce, salt and pepper. Spread mixture onto a dinner plate. Chill until firm.
BEAT eggs lightly in medium bowl. Place bread crumbs in another medium bowl. Shape ham mixture into 1-inch balls or 2-inch long ovals or cylinders. Dip each croquette in bread crumbs to coat. Roll in beaten egg, then return to bread crumbs and roll until coated on all sides. Chill 1 hour.
HEAT 3/4-inch vegetable oil to 350°F in medium heavy saucepan over medium-high heat. Cook croquettes in oil, a few at a time, until golden brown, about 3 minutes. Serve warm with marmalade.
