In a small bowl, combine lukewarm water and yeast. Stir with a fork to dissolve and let it rest for 5-10 minutes.
In a food processor using the sharp metal blade attachment, combine flour, pepper and sugar. Pulse a few times to combine the ingredients.
In a seperate bowl, combine warm milk, melted butter and egg, stir well.
With the food processor running, first pour yeast mixture then the milk mixture through the feed tube.
When dough has formed into a ball around the center, stop and add the cheese. Pulse again for about 15-20 seconds until the cheese is mixed into the dough.
Turn dough out onto a lightly floured surface and knead until smooth, about 2-3 minutes.
Place dough in a buttered bowl, rotating to cover all sides of the dough. Cover loosely with plastic wrap and a towel. Place in a cold oven and turn the oven light on. Allow the dough to rise for 30 minutes.
Punch down the dough and form it into a loaf. You can either free-form an oblong shaped loaf and place it on a greased cookie sheet or place it in a well greased loaf pan.
Cover with a towel and allow the loaf to rise for 30 minutes.
During the last 10 minutes of rise time, preheat oven to 350 degrees.
Bake loaf in preheated oven for 30-35 minutes.