Line baking sheet with parchment paper.
Beat grated cheddar cheese and butter together in a mixer or food processor, then stir in the flour, pepper sauce and Worcestershire sauce.
Add milk, one teaspoon at a time, until the dough is smooth.
Roll out the dough on a floured surface. Cut dough into little squares, just enough to cover the olives.
Press the dough around an olive, covering it well and rolling the dough into a ball with your palms. Repeat until all overs are covered with pastry dough.
Mix together the sesame seeds in a small bowl; roll each ball in the seeds, then place them on the prepared baking sheet.
Bake for 15 minutes. Watch carefully so they do not burn. Serve warm.