In large, dry skillet over medium-high heat, toast walnuts, stirring occasionally, until lightly brown, about 1 to 2 minutes.
Combine cream cheese, feta cheese, sundried tomatoes, lemon rind, and oregano. Cover and refrigerate for 1 hour. Scoop a tablespoon of cheese mixture and pat around an olive, forming a ball. Repeat until all of the cheese is used up.
Place walnuts in food processor; pulse until evenly and finely chopped. Transfer to a pie plate. Roll each ball in ground walnuts to coat. Refrigerate. At serving time, place 3 truffles in a martini glass; garnish with a sprig of fresh oregano.
Cheese truffles can be stored in refrigerator up to two days before serving.