Combine ground beef, bread crumbs and egg in medium bowl; shape into 12 meatballs. Press 1 cheese cube into each meatball, enclosing completely.
Heat olive oil in large skillet over medium-high heat and cook meatballs, turning occasionally, until thoroughly cooked and golden brown, about 6 minutes.
Dipping Sauce
Bring all ingredients to a boil in medium saucepan over medium-high heat. Serve with meatballs.