First of all, pre-heat the grill to its highest setting and, while it’s warming up, make the sauce.
In a small saucepan melt the butter and soften the onion in it over a medium heat for 5 minutes, then stir in the flour and gradually add the wine, a little at a time, stirring after each addition until you have a smooth sauce. Turn the heat down to a low setting and let the sauce simmer for 10 minutes while you’re cooking the gammon.
Remove the rind from the gammon steaks (the birds will love it chopped!), then snip the fat on the steaks with kitchen scissors at 1 inch (2.5 cm) intervals all round – this helps to keep it flat while it’s cooking. Now, grill the gammon steaks for 2-3 minutes on each side, depending on the thickness of them. Towards the end of the cooking time, stir the chopped gherkins, parsley and lemon juice into the sauce, then taste and season with pepper (but watch the salt because the gammon may be salty).
Serve the gammon steaks with the sauce poured over.