Cut the bread in half lengthwise. Hollow out top and bottom of loaves, leaving a 1/2-in. shell (discard removed bread or save for another use).
In a large bowl, combine cheeses, onions, mayonnaise and Worcestershire sauce; spread over cut sides of bread. Layer with ham and roast beef on bottom and top halves; place pickles on bottom halves. Gently press halves together.
Wrap in plastic wrap and refrigerate for at least 2 hours. Cut into 1-1/2-in. slices. Yield: 12-14 servings.