Preheat the oven to 350°F. Rinse the scallops, removing the attached muscle if necessary. Dry them with paper towels. Season with salt and pepper to taste. Slice the prosciutto in half lengthwise. Carefully wrap each scallop in a half-slice of prosciutto, tucking it under or around to secure it. Place the wrapped scallops on a shallow baking sheet. Sprinkle a small amount of chopped dill on top of each scallop. Bake for 20 to 25 minutes, until the prosciutto is crisp and the scallops are firm to the touch. Remove to a platter and serve.