In an ideal world you'd...make prosciutto-and-mozzarella panini just like they would at a paninoteca in Milan.
In reality...this one might be more than just nice to have for some people (and Oprah's one of them). But if your kitchen just can't handle one more appliance, you can certainly make panini without a dedicated machine. In Italy, many presses are actually made with two flat pieces of metal, so there aren't even grill marks. To get the same effect, butter both sides of your sandwich, put it in a frying pan and weigh the sandwich down with your largest, heaviest pot (cover the bottom with foil so it doesn't stick to the bread). Put a kettle filled with water in the pot if you need more weight.