Roll bread flat with rolling pin; set aside. In small bowl, combine sweetened condensed milk, mustard, and Worcestershire sauce. Cut bacon slices in half; and lay 3 halves closely together (just touching) on flat surface; place bread on top and spread with one rounded tablespoon of sweetened condensed milk mixture. Sprinkle 1 generous tablespoon of cheese on top. Roll bacon around bread jelly-roll fashion; secure each bacon piece with toothpick. Repeat procedure; chill.
Preheat oven to 375 degrees. With sharp knife, make 3 pinwheels by carefully cutting between each bacon strip. Bake on broiler tray for 30 minutes or until bacon is done. Refrigerate any leftovers. (May be made ahead of time, cut before baking.)
