In a large bowl mix wheat flour, butter, egg yolk, sugar, salt and water.
Knead dough by hand for 10-15 minutes until smooth. In a stand mixer, mix dough on speed 2 for 2 minutes followed by speed 3 for 1 minute. Next, manually knead dough until smooth, about 2 minutes.
Cut dough in half and cover. Roll out one half of dough until very thin on a lightly floured surface. Using a pizza cutter or sharp knife, cut dough in strips roughly three times the length and twice the width of the cheese sticks.
Using one strip of dough at a time, wrap the cheese diagonally. The dough must overlap through each wrap by a 1/3. Fold over the edges and pinch to seal. Repeat this process with remaining dough.
Heat 1 inch of oil in a frying pan. Fry 3 tequeños at a time, flipping after 30 seconds, until crispy and golden on both sides. With a slotted spoon remove tequeños and place on paper towels to drain. Repeat with remaining batch until surrounded by a sea of tequeños.
Let tequeños rest 3 minutes before serving. Any tequeños that were not fried can be frozen for up to 4 months for your next fiesta!