Except for the cheese, knead all the ingredients for the dough together into a ball and leave it for an hour in a warm place. Once the dough has puffed up, form 12 large balls of equal size and insert a cheese cube into each one.
Place the balls around the edge of an ovenproof pan so that they form a circle.
Mix the ingredients for the dip in a bowl. Keep about 3 oz of the cheddar to the side. Add the dip mix inside the ring of dough balls.
Spread the egg yolk onto the dough balls and sprinkle the rest of the cheese onto the dip. Place the pan in the oven and bake at 360°F for 30 minutes.