Preheat the oven to 220°C (200°C fan) / 425°F. Prepare a baking tray by lightly greasing it or lining it with parchment paper.
In a large bowl, sift together the self-raising flour, baking powder, and a pinch of salt and pepper. If using mustard powder or paprika, mix it in now.
Add the cold, cubed butter to the flour mixture. Using your fingertips, rub the butter into the flour until the mixture resembles fine breadcrumbs.
Stir in the grated cheddar cheese, making sure it's evenly distributed, reserving a little extra for topping.
In a separate bowl, beat the egg and milk together. Make a well in the centre of the dry ingredients and gradually pour in the wet mixture, gently bringing the dough together without overmixing.
Turn the dough onto a floured surface, knead briefly until smooth, then roll or pat out to about 2cm thick. Cut out rounds with a 5cm cutter, re-rolling scraps as needed.
Place the scones on the prepared tray, brush the tops with a little milk or egg wash, and sprinkle with the reserved cheese.
Bake for 12-15 minutes until risen and golden brown, with the cheese melted and slightly crisp. Cool slightly before serving.