Start your Grill on 'smoke' with the lid open until a fire is established in the burn pot (3-7 minutes). Preheat to 400F.
Line a large baking sheet with aluminum foil, and set aside. With a sharp knife, make several cuts through each potato, but don’t cut all the way down. Place each potato on the baking sheet, then rub each one with olive oil, and sprinkle with salt. Bake the potatoes on the grill for 30 minutes until the potatoes are tender, then place cheese squares in between a few cuts on each potato. Place back on the grill for 5-10 additional minutes, until the cheese is melted. Remove the backing sheet from the grill, let cool for 10 minutes, then serve.