Sift flour and salt into a bowl then rub through butter. Stir in enough milk to make soft dough. Knead gently on a lightly floured surface, and then roll to form a 40 cm x 25 cm rectangle.
Spread the Vegemite over the dough then sprinkle over 3/4 of the cheese. Roll up along the long side to enclose the cheese. Cut 10 x 4cm pieces from the roll and place close together, cut side up on a greased baking tray.
Sprinkle with the remaining cheese and bake in a hot oven 220ºC for 15-20 minutes or until cooked and golden.