I did it with whole wheat dough and cheddar, and then again with serrano peppers kneaded into the dough, stuffed with goat cheese.
They were tasty.
Step 1: Make Bread Dough
Add flour until it's a nice, non-sticky dough consistency.
(Bread is not that complicated as long as the water is about the right temperature.)
Let it rise for an hour or so.
Step 2: Cut Up Your Cheese
Step 3: Make Cheese Balls
Roll it into a ball, then pinch it flat with your fingers.
Put a piece of cheese on it, then wrap dough upwards.
Pinch the side seams together so that the sides are smooth. There should be a hole at the top (not shown very well in the pictures) so that air can escape and the cheese does not just explode out of the ball.
Step 4: Cook
Make sure they're spaced a little apart; they will rise some.
Step 5: Hooray!
If you didn't leave a good enough hole in the top, you may have some cheesesplosions on your hands (see: the cheddar ones).