Sift flour into a bowl. Stir in yeast, sugar, salt and cheese. Make a well in centre and pour in the water. Stir with a wooden spoon to form a dough. Turn out onto a floured surface and knead for 10 minutes until smooth and elastic and no longer sticky.
Put dough in a lightly oiled large bowl. Cover with plastic wrap and leave in a warm place to prove for 1 hour or until doubled in volume. Punch down dough. Use a floured hand to transfer from bowl to a floured surface and knead until just smooth. Shape into a log.
Grease a 25cm and 20cm springform tin with oil. Cut dough into 100g pieces. Knead each piece into a round ball. Sit pieces in tins about 1cm apart, smooth side down (creased side facing up).
Put some shallots in the creases of each roll and pinch tops together slightly. Cover with a tea towel and place in a warm place to rise for about 15 minutes.
Preheat oven to 200°C. Brush tops with egg. Bake for 15-20 minutes or until golden. Allow to cool before removing from tin.
Tip: Rolls can be baked in any tin or oven tray with deep sides. They are best eaten within a day, but can be frozen once baked.