Preheat the oven to 350°F.
Cook your polenta according to package instructions. Once cooked, stir in the parmesan cheese and heavy cream. Season with salt and pepper to taste.
Spoon the cooked polenta into 4 individual oven-proof serving pots (like Le Creuset mini cocottes) or into a large oven-proof dish. Crumble the gorgonzola all over the top of each pot of polenta and cover with a lid or foil. Bake in the oven for about 15 minutes or until the gorgonzola is runny and the polenta is warmed through. Serve immediately.
You can make the polenta and put it in your individual pots or baking dish in advance. Cover and keep in the fridge until ready to bake. Put the gorgonzola on top just before baking. You will need to increase your baking time to approximately 20-25 minutes as the polenta will be cold at first.