Preheat the oven to 450F and prepare a large baking sheet by covering it with a sili-pad or parchment paper.

In a heavy saucepan over medium heat, set the milk, oil, and salt to boil.

When the milk mixture comes to a rolling boil, add in the flour. It is very important that the flour be added when the milk is boiling, otherwise the flour will not congeal properly.

Mix the milk and flour together with a rubber spatula until fully combined, making a sticky paste.

Let cool for 10 minutes.

Add in the egg, and mix by hand, making sure the mixture is cool enough not to curdle the egg.

Add in the cheese and mix thoroughly.

Decrease the oven temperature to 350F and measure the dough out in rounded tablespoons.

Bake for 35 minutes and sprinkle with paprika. Serve immediately.