In a large mixing bowl or the bowl of your stand mixer fitted with a hook attachment, combine the yeast and warm water. Stir it around and let sit for 5 minutes until the mixture is foamy. Add flour, sugar, olive oil, and salt. Mix by hand or with the dough hook on low speed for 1 minute. Once all of the ingredients are mixed, slowly knead for 7 minutes by hand or with your dough hook on low-medium speed. If your dough is too wet, add up to 1/4 cup more flour. After kneading, your dough should be smooth and elastic. Poke it with your finger – if it slowly bounces back, your dough is ready to rise. If not, keep kneading.
Shape the dough into a ball and place in a large mixing bowl that has been greased lightly with olive oil. Turn it over to coat all sides. Cover tightly with plastic wrap and allow to rise in a warm environment (about 75°F or 80°F/24°C or 27°C)* for 1 hour or until doubled in size.
Once risen, punch the dough down to release the air. Turn the dough out onto a lightly floured surface. Using a sharp knife, divide the dough into 16 pieces. Each dough should be about 2 inches in diameter. Flatten each piece with your fingers or use a rolling pin. Place the cheese, ham, and sliced jalapenos(optional) in the center of the flattened dough, then fold the dough around to wrap the filling inside. Pinch the opening to seal as best you can. Repeat this process until you have 14 pockets.
Cut the remaining dough (you should have 2 pieces of dough) into 28 and roll into tiny balls.
Attach the tiny balls of “ears” to the pockets. *Place the ears on top of the pocket and grub a small portion of dough from the bottom of the ear with a toothpick, then keep stubbing into the pocket until the ears stick.
Preheat oven to 400°F (204°C). Line a large baking sheet with parchment paper or a silicone baking mat.
Brush the tops and sides of each pocket with egg wash. Sprinkle some shredded cheddar cheese around the ears.
Bake the pockets for 10-15 minutes, or until the tops are golden brown. Remove pockets from the oven and allow to cool on the pan until ready to handle.