Place on oven rack. Bake the potatoes for 1 hour or until tender; cool.
When potatoes cool enough to touch, cut lengthwise in half. Scoop out inside of potatoes and put in bowl. Set potato skins aside.
Increase oven to 400°. Mash potatoes in bowl, add milk, butter, salt, pepper and cheese. Put mashed potatoes back into potato skins. Put on cookie sheet and bake another 20 minutes.