In a large mixing bowl, combine flour, sugar, baking powder, baking soda and salt. Mix together.
Place cold butter in the center of the bowl. Use a pastry blender to cut the butter into coarse crumbs (small pea sized clumps of butter).
Add cheese to the flour mixture and mix until evenly distributed.
Add milk and egg to the flour mixture.
Gently mix until the dough is just combined. Scone batter should be very wet.
Spoon onto a baking sheet lined with a silicone baking mat. You should be able to make 8 large scones from the dough.
Bake at 425 degrees F for 15-18 minutes until the tops are golden brown.