1. Open the lid and remove the bread pan from the bread maker, twisting the bread pan and lifting straight up.
  2. Insert the kneading blade into the bread pan by aligning the flat edge on the inside of the kneading blade with the flat edge of the shaft.
  3. Place the water, milk, egg, butter, bread flour, caster sugar, salt, pepper, bread improver and yeast into the bread pan in that order.
  4. Return the bread pan to the bread maker and push the bread pan down firmly and turn until it clicks into position.
  5. Close the lid and plug in the bread maker to the power.
  6. Press the MENU button and set the bread maker setting to SETTING 8 – DOUGH.
  7. Press the START/STOP button to begin the cooking process.
  8. The bread maker will sound 5 beeps when the cycle is finished.
  9. Remove the dough from the bread maker and place on a floured surface.
  10. Roll out to a 50cm x 30cm rectangle.
  11. Spread vegemite over the dough and sprinkle half the cheeses.
  12. Roll the long side to meet the other long side.
  13. Cut into rounds and then place on a 40cm x 20cm greaseproof lined baking tray.
  14. Cover with a tea towel and leave for 45 minutes to prove.
  15. Pre-heat oven to 200°C.
  16. Sprinkle remaining cheeses on top of the scrolls and bake for 10-15 minutes.
  17. Serve.