Preheat oven to 350F. Grease two 8½ x 4½-inch loaf pans.
For the rosemary batter:
Beat the egg and add the milk and the melted butter. Stir well. In a separate bowl, mix together the baking powder, rosemary, salt, and flour. Add the egg mixture and stir just until combined. Put half of the batter into each of the 2 prepared pans. (The batter is thick - use a spoon to complete cover the bottom of the pan.)
For the cheese batter:
Beat the egg and add the milk and the melted butter. Stir well. In a separate bowl, mix together the baking powder, salt, cayenne, black pepper, and flour. Stir in the cheese, then the egg mixture, stirring until just combined.
Pout half of the cheddar batter into each pan on top of the rosemary batter. (The batter is stick so you will likely need to use a spoon to smooth it out.)
Bake the loaves for 50 to 60 minutes, or until nicely browned and a cake tester or toothpick inserted into the middle of a loaf comes out clean. Remove from the oven and let rest for 5 to 10 minutes before turning out onto a cooling rack.