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Step 1
Preheat oven to 220C/200C fan-forced. Grease a 12-hole (1/3-cup-capacity) muffin pan.
Step 2
Process flour, butter and sugar in a food processor until mixture resembles fine crumbs. Transfer to a bowl. Make a well. Add milk. Season with salt and pepper. Stir with a butter knife to form a sticky dough. Turn out onto a well-floured surface. Knead gently. Using a floured rolling pin, roll out to form a 20cm x 40cm rectangle.
Step 3
Spread dough with Vegemite, leaving a 1cm border. Sprinkle with cheese. Roll up dough from 1 long edge to enclose filling. Trim ends. Cut into 12 equal slices. Place, cut-side up, into holes of prepared pan.
Step 4
Bake for 15 to 20 minutes or until golden and just firm to the touch. Stand in pan for 5 minutes. Carefully transfer to a baking paper-lined wire rack. Serve warm or cold.