Preheat oven to 220°C/200°C fan-forced. Line a baking tray with baking paper. Sift flour into a bowl. Using fingertips, rub butter into flour until mixture resembles breadcrumbs. Make a well in the centre. Add milk. Using a flat-bladed knife, stir until mixture forms a soft dough, adding more milk if necessary. Turn out onto a lightly floured surface. Knead gently until smooth (don't over-knead).
Roll out to a 30cm x 20cm rectangle. Spread Vegemite over dough, leaving a 1cm strip along 1 long side. Sprinkle cheese over Vegemite. Roll up firmly. Transfer to prepared tray, seam-side down.
Using scissors, cut into top of dough at 3cm intervals without cutting all the way through. Pull slices to the left and right. Brush with milk. Bake for 20 to 25 minutes or until golden. Serve.
As an alternative you could use tomoto paste instead of Vegemite.
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