In a large bowl, mix the flour, baking powder, sugar, and salt. Make a well in the center.
Add the softened butter (or lard) and the egg. Work with your hands or a mixer until you get a crumbly, sandy mixture.
Gradually pour in the warm water (or milk) and knead until you obtain a soft, elastic dough. Kneading should take about 5 minutes. Cover the dough with a damp cloth and let it rest for 30 minutes.
Preheat the oven to 200 °C (400 °F). Line a baking sheet with parchment paper.
Divide the rested dough into 12 to 16 equal pieces and form balls. Roll out each ball into a thin circle about 12 cm in diameter.
Place 1-2 tablespoons of cheese in the center of each circle. Do not overfill to prevent the turnovers from opening during baking.
Moisten the edges of the dough with a little water or egg yolk. Fold in half to create a crescent shape. Press the edges firmly with your fingers and crimp (or press them with a fork) to create a strong seal.
Place the empanadas on the prepared baking sheet. Brush each empanada with the beaten egg yolk for a golden color.
Bake in the preheated oven for 15–20 minutes, or until they are beautifully golden brown and the cheese has melted inside.
Serve warm. If you want to follow the Bolivian tradition, dust them with a little powdered sugar immediately after removing them from the oven.