Heat 1/2 tablespoon of the oil in a skillet over medium-high heat. Cook the ham steak for 3 minutes on each side to brown and heat through, then remove to a plate and cover to keep warm.
Add the remaining 1/2 tablespoon of oil to the pan and add the onion, garlic, and bell pepper. Season with salt and pepper, and cook 4-5 minutes, until soft.
Once the vegetables are tender, stir in the tomato paste and chili powder, and cook for a minute. Stir in the stock and simmer for a couple minutes more.
While the gravy is working, bring the milk and 1/2 cup water to a boil in a small pot. Add the polenta and whisk for 2-3 minutes, until thickened. Melt the butter into the polenta and stir in the hot sauce and cheese. Remove from heat.