(I recommend reading the NOTES below first).
Add your bread flour, salt, sugar and yeast to your stand mixer bowl and mix together with your wooden spoon.
Stir in your olive oil.
Mix your grated cheese and chopped thyme together and then stir into your flour mixture.
Place your bowl onto your stand mixer and fit the bread hook, start mixing on a low speed.
As your flour is mixing, slowly drizzle in your warm water.
Once all of the water has been added, leave to knead for 2 minutes on the same low setting (number 2 if using a KitchenAid). Don't worry about scraping your bowl down, the kneading hook will find all of the loose mixture itself and incorporate it. If kneading by hand this will take you 8-10 minutes.
Remove your dough from your mixer bowl. It should be smooth and elastic in texture and a bit tacky and sticky.
Grease your mixer bowl with some olive oil.
Take a large piece of cling film, big enough to cover your bowl, and grease with olive oil.
Return your dough to your greased bowl, cover with your oiled clingfilm and leave to prove for 1½-2 hours or until doubled in size. My kitchen is very warm so mine only took 1 hour.
Grease your baking tin with more olive oil (or butter).
Remove your dough and knead 3 times just to knock the air out, then split into 9 segments (mine weighed about 100grams each) and roll into balls. Add a bit of flour to your hands if your dough is sticky. Try to ensure the surface of each roll is smooth, but don't handle the dough more than you have to in order to keep it aerated.
Place your dough balls into your tin in rows of 3 x 3, they should be just touching each other.
Cover again with your oiled clingfilm and leave to rise for another 30 minutes.
Heat your over to 200°C/220°C/430°F/Gas mark 7.
Spread your egg yolk over the top of your rolls with your pastry brush, or you may find this easier to do with your fingers so that you can be gentle and thus avoid deflating your cheese rolls.
Sprinkle over your cheddar cheese.
Bake your rolls for 20-25 minutes, or until golden. When ready, your rolls should sound hollow when you tap the base.
Remove the whole lot in one go onto your cooling rack. Leave to cool before tearing apart.