1Heat gas or charcoal grill. Cut lengthwise slit in each hot dog, cutting almost but not quite to other side. Cut each cheese slice into 4 strips; insert strips into openings in hot dogs.
2Wrap each hot dog with slice of bacon; secure with toothpicks.
3Place hot dogs on grill over medium heat. Cook about 10 minutes, turning often, until bacon is cooked. Add buns, cut sides down, to grill for last 1 to 2 minutes or until toasted.
4Place hot dogs in toasted buns. Serve immediately.