Heat oven to 325 degrees, and line a baking sheet with parchment paper. Skewer 1 bay leaf, 1 slice of bread, 1 piece of cheese, and another bread slice. Continue skewering until 4 sandwiches are formed on each skewer, beginning and ending with a bay leaf. Place skewers on baking sheet. Brush each skewer with olive oil and season with salt and pepper. Bake, turning skewers halfway through, for 7 minutes, or until cheese is warmed through but not melted.
Meanwhile, in a small saucepan, melt butter over medium heat. Add anchovies, and stir until well combined. Add capers, lemon juice, zest, and parsley. Spoon mixture over skewers. Serve immediately.