Preheat oven to 400 degrees. Line a baking sheet with parchment paper, or* spray a muffin tin with non stick spray or rub wells with butter (*see note).
Place milk and oil in a small pot and heat until just simmering and remove from heat.
Place tapioca flour and salt in a mixing bowl and pour hot milk and oil over top. Beat to combine.
NOTE: At this point, your mixture might look crumbly and grainy, this is okay.
Beat in egg.
Add cheese and beat to combine.
Scoop dough into balls (I use a cookie scoop, you can do any size you like, I aim for golf ball size) onto parchment-lined baking sheet* and bake until puffed and set on the outside, just slightly golden. Time will vary depending on size, but usually around 15 minutes.
*NOTE: I've made this recipe a million times and have found at this point, sometimes the finished dough is scoop-able like cookie dough, and other times it's kind of runny like thick pancake batter. Tapioca flour differs in absorption levels and this isn't unusual. If your dough is not scoopable, you can always add a little bit more flour. But what I usually do is just bake the mixture in a muffin tin as opposed to a baking sheet. They still turn out great!