Preheat oven to 425°F.
Heat a medium-size, nonstick skillet over medium-high heat with 1 turn of the pan of EVOO, about 1 tablespoon. Add the chopped bacon and cook until crispy, about 4-5 minutes. Remove bacon from the pan to a paper towel-lined plate. Set aside.
Place the ground chicken in a medium-size mixing bowl and add the egg, milk, bread crumbs, grated cheese, parsley and cooked bacon. Season the chicken mixture with salt and pepper. Mix all ingredients together and roll into 12 medium-size meatballs, each about 2 inches round. Place a piece of cheddar cheese into the center of each meatball and maneuver the meat around the cheese to seal it in the middle.