Cut bread loaves in half lengthwise. Hollow out both halves of each loaf, leaving a 1/2-in. shell (discard removed bread or save for another use). , Combine cheeses, onions, mayonnaise and Worcestershire sauce; spread over cut sides of bread. Layer ham and roast beef on bottom and top halves; place pickles on bottom halves. Gently press halves together. , Wrap and refrigerate for at least 2 hours. Cut each loaf into 7 slices.