Heat milk and 1/4 butter to 120. Combine 3 cups flour, sugar, salt, yeast, cheese and warm milk mixture. Mix at high speed for 3 minutes. Add enough of remaining flour to form a stiff dough. Knead until smooth.
Divide dough into 3 parts. Shape each part into a ball. Roll each ball into a 10-inch circle. Cut circle into 8 wedges. Brush with melted butter. Roll up beginning at large end. Place on lightly greased cookie sheet. Brush with egg yolk combined with water. Cover, let rise until doubled.
Pre-heat oven to 400 degrees. Bake risen rolls for 15-20 minutes. Cool on wire racks until cool enough to serve. Enjoy!