A lot of cheeses are naturally brined (feta, for example), and marinating cheese is not much different. For the best effect:
- Pick a porous cheese
- Cut off the edges if the cheese has a skin
- Cut into smaller pieces to increase the penetration
- Press it dry with towels (or paper towels)
- You can inject the cheese to get more flavour in it
- Marinate in flavours that compliment the cheese
- Let the cheese soak for at least 4 hours (more for less porous cheeses)
If the cheese is really wet (like feta), add weights to the drying process (like a pot or heavy plate), and let it drain until the surface feels dry.
Note that many cheeses are already salty, so balance your marinade with this in mind.