1.) HEAT oven to 400°F. Generously COAT baking sheet with cooking spray. PLACE waffles on baking sheet.
2.) SPOON egg over waffles, spreading to fill cavities. BAKE in 400°F oven until egg is set and waffles are crisp, 10 to 12 minutes.
3.) TOP one waffle with cheese. COVER with remaining waffle and press together. LET STAND 1 minute to allow cheese to melt.