Slice each hot dog 3/4 of the way through lengthways. Cut each slice of cheese into 5 strips and insert 1 strip of cheese into each hot dog. Wrap bacon snugly around each hot dog securing each end with a toothpick.
Preheat oil in a saucepan to hot.
Carefully drop the hot dogs in the hot oil and fry for 1 to 2 minutes or until bacon is brown and crispy. Remove from oil and drain on paper towels. Remove and discard toothpicks. Serve on buns with your favourite condiments.