Heat a charcoal grill to medium-high. Slice hot dogs lengthwise without completely cutting through. Fill with cheese. Beginning at one end, wind the bacon around each hot dog to cover completely.
Place hot dogs on grill, cheese side down, and cook, covered, for 2 minutes. Uncover, and turn, cooking until the bacon is cooked through and crisp, 3 to 4 minutes. Place a hot dog in each roll, and top with desired condiments.