In a medium bowl, mix together the butter, flour, cheddar and salt and pepper. Wrap some dough around each olive (patting them dry with paper towels seems to help the dough not slide off - just cup it in your hand and squeeze it together as if you were making a little snowball) and refrigerate for an hour or so.
When ready to bake, preheat the oven to 350F and bake for 20 minutes, or until pale golden on the bottom. Cool before serving - the olives inside can get hot!