Pardon if the measurements are a bit vague, but there does seem to
be a lot of room for variation here.

Some peppers.  Cut in half length-wise and clean out stem, webbing
and seeds.  (hint: wear gloves!  The chilies can cause a burning
sensation in your fingers for quite a while if you don't!)  I tend
to be a wee bit on the sloppy side here.  The webbing and seeds is
where most of the heat is, and if I leave a bit behind,
well...surpprise!

Cheeses:  they use jack, cheddar and cream.  I personally don't
think cheddar works well but this place sells a ton of them so
obviously, not everyone agrees with me on this point.  Cut the
cheese into thumb-sized pieces that will fit into the chile
halves.  

Stuff the chiles.

Egg wash: 1 egg beaten with a couple of tablespoons of water.

Dip the stuffed chiles in the egg wash and coat with finely ground
bread crumbs.  I like to let them dry a few minutes and put a
second coating on.

Fry in medium hot lard.  (Yes, you can use vegetable oil if you
REALLY insist!  But it's not the same!)

They'll keep in a warm oven for half an hour or so, but I've never
found a way to successfully reheat them.  Once the crunchyness of
the coating goes, the magic is gone.