Place the cream cheese, Worcestershire sauce and lemon zest in the bowl of a food processor and process until well mixed. Take out half of the mixture and set aside.
Add the Cheddar cheese to the mixture in the bowl; process until well mixed. Season to taste with salt and pepper. Form into small balls (1-inch or less), place on a cookie sheet and chill until hard, around 4 hours.
Place the second half of the cream cheese mixture in the bowl of the food processor; add the Gouda cheese and process until well mixed. Season to taste with salt and pepper. Form into 1-inch balls, place on a cookie sheet and chill until hard, around 1 to 2 hours. (You can speed up this process by putting them in the freezer for around 45 minutes.)
Roll the Cheddar truffles in the chopped pecans, and roll the Gouda truffles in the chopped chives. Place truffles in candy paper cups and refrigerate until ready to serve.
Make ahead: truffles can be made, covered and refrigerated up to 24 hours in advance.