Preheat oven to 220 degrees celsius (210 degrees if using fan-forced).
Grease a 20cm round cake tin and set aside.
Place the cheese into the Thermomix bowl and grate on Speed 9, 10 seconds. Set aside. Wash and dry the bowl.
Place the self raising flour and butter into the Thermomix bowl. Mix on Speed 6 for 6 seconds.
Add the milk and knead for 2 minutes.
Sprinkle extra flour over a board.
Roll out the dough to 1cm thick.
Spread the butter and then the vegemite over the dough.
Sprinkle over the grated cheese.
Roll up the dough, starting from one side until you have a long tube.
Using a sharp knife, cut the roll into 3cm slices.
Place the slices cut side up in the prepared cake tin.
Bake for 20 minutes or until golden (and hollow sounding when tapped).
Leave on a wire rack to cool and then place into an airtight container for up to 2 days.