Mix together beef, Worcestershire sauce, salt and pepper; form into 6 (3-inch) burgers.
Brush onion slices lightly with oil. Heat a grill pan; grill onion slices about 3 minutes on each side or until grill marks form.
Grill burgers about 4 minutes on each side. Place 1 slice cheese on top of each burger; cover with a lid and cook about 2 minutes more or until cheese starts to melt. Place 1 burger on bottom of each roll; top with 1 onion round and close roll.