1. Dice ham very fine. Put it into a small saucepan with 2 tablespoons of butter and saute it over medium heat for just a few seconds. Add the chopped anchovies and capers, and cook for a few more seconds, sofetning and mashing the anchovies with a wooden spoon until they dissolve into a paste. Turn off the heat.
2. Put the oil and the remaining butter in a large skillet and turn the heat on to medium high. When the butter foam begins to subside, drege the veal in the flour, one at a time and on both sides, and slip them into the skillet. Brown them nicely on both sides, 1 minute or so for each side, then transfer them to a warm platter, seasoning with salt and pepper.
3. When all the veal are done, turn off the heat and pour the grappa or brandy into the skillet. Quickly scrape up the cooking residues with a spoon and pour everything into the saucepan containing the ham and anchovy mixture.
4. Turn on the heat under the saucepan to medium high; add the heavy cream, stirring briefly until the cream thickens. Turn off the heat, and spread the hot sauce over the veal on the platter. Serve without delay!