In a small pan, heat your milk and butter until the butter has melted and the milk is just warm to the touch - you don't want the milk boiling hot.
In a large mixing bowl, add your bread flour, yeast (to one corner), salt (to the opposite corner to the yeast) and the cayenne pepper (if using). Give these ingredients a good stir so they're evenly mixed.
Now add the warmed milk/butter mixture, along with the beaten egg and stir until a soft dough comes together.
Knead by hand or in a stand mixer, fitted with the dough hook attachment for 8-10 minutes, or until the dough is smooth.
Cover the bowl and leave the dough somewhere warm for 2 hours or until it's doubled in size.
Once the dough has doubled in size, mix the grated Cheddar into the dough by hand. Divide it equally into 12 pieces (I weigh for accuracy and each dough piece weighs roughly approx. 80g) and roll each piece of dough into a smooth ball. Place the balls of dough on a large, lightly greased baking tray, leaving space for them to rise. Leave for the dough to rise for another hour, or until the dough has risen and joined up.
Preheat the oven to 200°C / 180°C Fan / 400°F / Gas Mark 6. Make the cheesy cross topping by mixing the grated cheese, flour and water gently until it's just come together - try not to over mix this, otherwise it becomes tough when baked.
Transfer the cheesy cross topping to a piping bag, snip the end a little just to make a small hole. Pipe a line across the top of the buns and then pipe another line the opposite way, so each bun is topped with a cross. I went over the top of each line again to use up the majority of my mixture - don't worry if you don't use it all.
Sprinkle over the grated cheese and then bake the buns for 25-30 minutes until lightly golden - mine took 25 minutes. Allow to cool and then serve with plenty of butter!