If using wood skewers, soak them for at least 10 minutes so they don't splinter. I used four wood skewers when I made this recipe.
Cut the halloumi cheese into chunks that are at least 1" x 3". If you cut them smaller, they will likely crumble. I found that out the hard way.
Chop the onion, cucumber, and pepper into bite-size pieces. Place in a medium to large salad bowl. Add olives to bowl.
Prepare the skewers by threading the little tomatoes onto their own skewer(s) and the cheese onto its own skewer(s).
Brush the skewers with olive oil. BBQ the skewers on medium heat. The time will vary depending on your grill, but aim for grilling the cheese 2-3 minutes per side and the tomatoes a little bit longer.
Remove cheese and tomatoes from skewers and add to salad bowl. Add the olive oil, red wine vinegar, salt and pepper, and oregano. Toss until coated. Serve immediately.