First, prepare the filling. I used THIS recipe.
Mix all the dry ingredients and the oil, then slowly start adding the warm milk a little at a time. Get it to a soft dough, the softer the better, knead it very well for at least 8 minutes or more if possible.
Dab a touch of oil all over the dough, then cover it and place it somewhere warm. Leave it to rise to double its size, takes about 30 minutes to an hour depending on the weather.
Once risen, punch it down, give it a quick knead and then roll it out into a rectangular shape of about quarter inch thickness. Spread your filling leaving a border of about 1 inch all around. Sprinkle a bit of cheese (mozzarella preferably) on the filling, then from one end, roll the pizza dough like you would a swiss roll, enclosing the filling inside. Now slice using a knife, tucking and adjusting any area that seems like it's spilling out. Keep the slices at less than 2 inches, remember they will bulk up a little bit after baking.
Place the pinwheels on a greased tray and let them sit for about half an hour. Then preheat the oven at 180 C, bake for about 10 minutes. Take the tray out and sprinkle extra cheese to top each pinwheel. Bake until the cheese melts and is golden. Serve hot! :)