I already cold smoke cheese. I'm looking to add bacon flavor to that cheese. Would soaking it in cooked bacon grease and cutting off the heavily saturated outer section work?
Part of it depends on how you use the cheese.
To get a bacon-infused cheese block, the best and easiest way would be to buy some cheddar culture and make your own - the bacon fat, or even crumbles, well dried, can be added during the process, layered between curds, etc. The block can be aged and/or smoked after pressing.
It may, maybe, be possible to take a block of cheddar, shred or chunk it, toss in some grease and/or crumbles, and press it into another block. You would need to start with a young cheddar, and give a great deal of time and/or pressure to re-combine the cheese - seems like a lot of work for little return, and it saves very little work over making from scratch.
Soaking the cheese block in the grease, or adding a layer of such onto it after smoking and before storage, would get flavor into the outermost edges (it would not likely infuse far without extensive time). Cutting those edges off would readily undo most of the flavor addition, though. That saturated section you're concerned about, though, would not necessarily be a large part of any portion - it would be mainly be around the rind of a slice (small surface area) or mixed into a shredded pile... though additional cheddar can be added if the smoking on top of grease is still too much flavor.
The only other alternative I can think of would be keeping the bacon flavor on hand (as grease, or as commercial seasonings or flavorings) to add to the cheese at the time of use.
I would try coating the cheese (I also assume you are working with semi-hard cheese) with bacon grease, making sure to cut the cheese into smaller(2-3lb blocks) and letting it 'marinade' for 12 to twenty four hours. I would then wrap the cheese with bacon before smoking, if you are going to be using the cheese in the shredded form, you could try shredding it first, mixing in some bacon grease and bacon bits, then cold smoking it. Hope this helps.