Toss together the cheese and cornstarch in a small saucepan. Add the remaining ingredients except the milk and cook over medium heat, whisk occasionally for the first couple minutes then frequently as the cheese melts. Whisk until the cheese sauce is smooth (about 5 minutes). Remove from stove top and let cool.
Whisk vigorously every 5 minutes or so to blend the “skin” that forms on the surface into the cheese sauce. Once at room temperature, use the milk to make the consistency suitable for dolloping onto the hot dogs.
Trim the edges of the bacon so they wrap neatly without overlapping. Lay a strip of bacon on a work surface. Place a hot dog on the bacon on the diagonal. Then roll up the hot dog in bacon. Use a toothpick to secure each end.
If you are cooking the hot dogs on the stove or flat iron side of the BBQ, use scissors to rim the toothpicks so they aren't sticking out. Brush the grill side with oil and drizzle the remaining oil on the flatiron side of the BBQ. then heat on medium high ( or do this in a frypan over medium high on the stove)
On the flat iron side, add the onion and cook until dark golden brown. Cook the extra bacon for garnish at the same time.
On the grill side, cook the hot dogs, turning until nicely browned all over. Partially cut the hot dog buns. PLace a bacon wrapped hot dog in the bun, top with onion, cheese sauce and bacon for garnish.