Place ingredients, in the order listed, into your bread machine and select the dough program. Should take about 90 minutes to complete the dough cycle.
Preheat oven to 200°C/400°F. Prepare a greased baking sheet.
Cut the dough in half, and roll out each half of the yeast dough into 2 rectangles, about 1cm thick. 1cm thick dough will give you 12 scrolls, ½ cm thick dough will make 24 scrolls.
Spread the Vegemite thinly over the yeast dough, leaving a 1cm border around the dough, Vegemite free.
Sprinkle the cheese over the Vegemite. Roll up the yeast dough firmly until you have a cheesy dough log. Roll the dough on the long edge, not short edge.
Using a sharp knife, cut every 3cm along the dough log. Place the scrolls on a greased baking sheet.
Cover with cling wrap and place in a warm place for about 45 minutes, allowing the dough to rise further. This is optional, especially if you're pressed for time, but makes for a better scroll.
Brush the Cheesymite Scrolls with milk. Put a pinch of cheese on top of the Cheesymite Scroll. Bake for 15-20 minutes, or until they are golden brown. Allow to cool and enjoy.