In a large bowl, mix all ingredients except blue cheese. Make sure salt and pepper are distributed evenly throughout the mixture.
Divide beef mixture into 4 sections (these will eventually become 4 burgers).
Take approximately 2/3rds of a single section, form into a burger shape, and use your thumb to form a deep imprint in the middle.
Fill imprint with 1/4 of the blue cheese.
Take the remaining 1/3rd of the beef mixture from that section and cover the blue-cheese filled imprint in the burger, flattening around the edges to ensure that the ground beef stays together and the blue cheese does not leak out.
Repeat and then grill burgers to desired doneness.
Place grilled burger on bun and top with more crumbled blue cheese if desired.
Watch out when you bite into the burger - the blue cheese will be hot!