In a large bowl, mix flour, sugar, and salt together.
Dissolve yeast in warm water and let it sit for about 5 minutes until bubbly.
Add the yeast mixture and olive oil to the dry ingredients and mix until a dough forms.
Knead the dough on a floured surface for about 10 minutes until smooth and elastic.
Place the dough in a greased bowl, cover with a cloth, and let rise in a warm place until doubled, about 1 hour.
Preheat oven to 375°F (190°C).
Punch down the dough and divide into 12 pieces. Flatten each piece, place a block of cheese in the center, and seal the dough around it.
Place the rolls seam-side down on a baking sheet lined with parchment paper.
Brush with the beaten egg and bake for 12-15 minutes until golden brown.
Serve warm and enjoy the cheesy center!