Using a knife, make a slit along the entire length of the hot dog that's about 3/4 of the way through the hot dog. Break the cheese slice into 2 pieces and stuff each piece into the slit in the dog. Wrap the bacon slice around the hot dog in a spiral fashion, then secure all with a toothpick. Place on a cookie sheet or baking dish.
Bake at 400 degrees F (200 degrees C) for 11 to 15 minutes, or until bacon is crisp.