Preheat your oven to 200°C (390°F). Line a baking sheet with parchment paper or a silicone mat to prevent sticking. Set aside.
In a mixing bowl, combine the grated cheddar cheese, panko breadcrumbs, smoked paprika, dried thyme, and a pinch of salt and pepper. Mix until well integrated and the mixture feels slightly crumbly but holds together when pressed.
Beat the large egg until smooth, then fold it into the cheese mixture to help bind everything together. The mixture should become sticky and hold its shape when pressed.
Using a tablespoon or small scoop, portion out about 1 tablespoon of the mixture and gently roll it between your palms into a compact ball about 2 cm (¾ inch) in diameter. Place each ball on the prepared baking sheet, spacing them about 2.5 cm (1 inch) apart.
Spritz the cheese balls lightly with oil spray for an even, golden crust. If you like, you can also sprinkle a tiny bit more herbs or spices on top for extra flavor.
Bake in the preheated oven for 12-15 minutes, until the cheese balls are puffed, golden, and crispy around the edges. You’ll hear a gentle bubbling sound as the cheese melts inside.
Remove the baking sheet from the oven and let the cheese balls rest for 3-5 minutes. This helps them set and prevents the gooey cheese from spilling out immediately when you bite into them.
Serve the baked cheese balls warm, with your favorite dip or alongside a fresh salad. The exterior will be crispy, and the insides soft, cheesy, and irresistibly gooey.