Preheat the oven to 170ºc fan or 180º conventional and line a 23cm square baking tin with nonstick baking paper.
Start by weighing the butter and milk in a medium bowl and warming in the microwave. The mixture should be warm and the butter melted.
Once the mix is warm but not hot, whisk in the eggs, yeast and honey. Set the bowl aside for about 5 minutes until the yeast has started to froth on the top of the mix. Add in the flour and salt. Mix the flour and milk mixture together until you have a shaggy dough.
Knead the dough on a lightly floured surface until the dough comes together and is soft and bounces back when gently pressed.
Place the dough back in the mixing bowl and cover with a tea towel or some cling film and set in a warm place until doubled in size. This should only take about 30-40 minutes.
Roll the dough out on a lightly floured surface into a rectangle about ¼ cm thick.
Spread the red pepper sauce over the entire surface of the dough and sprinkle the thyme leaves and then cheddar over the surface. Press the cheese lightly into the dough.
Starting with the long edge closest to you roll the dough tightly. When you've rolled the dough into a log, pinch along the edge to seal. Cut the dough into 9 equal rolls.
Place with the cut side up in a lined baking tin. Leave covered in a warm place for another 30 minutes, then bake in the preheated oven for about 25 minutes, until the cheese is bubbling and the rolls are baked through.