Combine cheddar and parmesan in a bowl.
Place one sheet of pastry onto a lightly floured surface. Spread half the VEGEMITE evenly over the pastry. Sprinkle with half the cheese mixture. Top with the remaining sheet of pastry, pressing down gently. Spread top of pastry stack with remaining VEGEMITE. Sprinkle with the remaining cheese mixture.
Cut stack into 8 equal strips. Roll up each strip to form a pinwheel. Place one pinwheel into each pie maker hole.
Turn on the pie maker. Close lid. Cook for 15 minutes or until pastry is golden and cooked through. Transfer to a wire rack. Repeat with remaining pastry swirls. Serve.