Place a slice of cheese on four of the pieces of bread.
Lay two anchovy fillets over each piece of cheese and sprinkle with pepper to taste.
Cover with the remaining pieces of bread to form sandwiches.
Heat the oil in a frying-pan.
Add the sandwiches and fry for 3 to 5 minutes or until they are brown on one side and the cheese has melted.
Turn over and fry until they are brown on the other side.