Preheat the oven to 325 degrees F (165 degrees C).
In a medium bowl, combine the crackers and shrimp. Stir in the melted butter to form a stuffing. Spread on top of the lobster tails and roll from one end of the tail to the other. If the tails are too thick, slice them in half horizontally to make them thinner. Secure the rolls with toothpicks and place in a greased 8 inch square baking dish.
In a saucepan over medium heat, combine the cream of shrimp soup, milk and cheese. Cook and stir until cheese has melted. Pour over the stuffed lobster tails. Top with any stuffing mixture that you may have left over.
Bake for 25 minutes in the preheated oven, or until sauce is hot and lobster meat is opaque.
