In a small pot, heat milk, oil, and salt. Once starts to bubble, and salt is dissolved, remove from heat.
Put tapioca in a bowl, and pour hot liquid into it, stirring until smooth. Mix in egg, and continue stirring until smooth. Add cheeses, kneading until incorporated.
Lightly cover dough with a greased piece of plastic wrap, and let rest for 30 minutes.
Roll in 1" balls, and place on a parchment lined baking sheet. Bake at 350°F for 30 minutes on the upper rack.
Serve hot out of the oven alongside a chili or chowder.