Cut ham slice into ¼-inch strips. Trim veal edges and remove any fat. Cut into ¼-inch strips. Cut salt pork into ⅛-inch-thick slices and then cut into ⅛-inch strips.
Put shallot, bay leaf, thyme, Madeira, and Cognac into a flat dish. Add the meat strips and marinate 6 hours, or overnight. Mix pork, salt, and pepper. Refrigerate both.