Cheese is ok provided it is fed in moderation - as a titbit rather than as a main component of the dog's food. As with most things, moderation is the key - no more than 10% of the dog's total food for one day. I often use cheese for training for the show ring, because as you say they can smell it a mile off, and it keeps their attention on the pocket where it is kept. Just have to remember to remove it at the end of the session, or I end up with the pocket chewed out, or a smelly, gooey mess when it gets left for a few days before being washed.