Preheat the oven to 375 degrees F. Cut the hipbone of each chicken leg. Carefully lift the skin up from the thigh end of each. Stuff and spread one-quarter of the cheese underneath the skin of one of the legs. Put the chicken skin back to its original position, pressing it onto the cheese. Repeat with the remaining legs. Place the chicken in a roasting pan, skin-side up. Combine the olive oil and lemon zest and juice in a small bowl. Brush it over the chicken; season with salt and pepper. Roast the legs, basting with pan juices occasionally, for 50 to 55 minutes, or until cooked through.