Cheese is primarily the fat and salt of milk. Don't eat cheese in large amounts because it contains a large amount of fat and salt. When they make cheese they separate a whey-like material, primarily tasteless protein, and the cheese curd. Cheese is made up of the fats and salts of milk, while whey contains a large proportion of the protein. For this reason, many protein supplements contain powdered whey in their composition.
If you want to get the most out of your nutrition plan, then stop using food as a reward. It's a trap that those on a diet often fall into, wanting to use unhealthy foods as the light at the end of the tunnel after a week of healthy eating and exercise. Unhealthy food is unhealthy food and it's going to have the same negative effect on your body no matter when it is consumed.