Cook the hot dogs fully before starting next steps. I prefer to grill, but any method is fine, just keep them whole.
Allow the hot dogs to cool enough to be handled, then skewer each lengthwise.
Place a non-stick or well greased skillet over medium heat, and lay two slices of cheddar cheese down in the center of it.
Let the cheddar cheese melt completely until it begins to resemble a piece of lace. If you do not let the cheese melt completely before attempting to wrap it around the hot dog, it will simply slide right off.
Once the cheddar cheese is mostly melted, place a tablespoon of Monterrey jack cheese and a small sprinkling of jalapeno peppers down the center of it. Allow the cheese to bubble and melt for about 30 seconds longer. The cheese should be nice and crisp at the bottom now.
Start at one end, by placing the hot dog on the edge of the cheese, and use a spatula with one hand to help wrap the cheese around the hot dog as you spin it on the skewer with the other hand. Hold for a few seconds to let it cool slightly, and then place it on a rack to finish cooling.
Repeat steps 3-6 with the remaining hot dogs.
*I suggest going with uncured grass-fed beef hot dogs. Whatever you choose, check the label. Many contain fillers. Look for 2 or less carbs per serving.