The first time I cooked halloumi I overcooked it and decided that I didn't like it. However, since learning how to cook it properly, I'm now a convert. Here are my tips: Don't cut it into thin slices. Leave the slices about 1/3 to 1/2 inch thick. Don't expect it to melt. Halloumi cheese doesn't melt because of its three-dimensional milk proteins that don't stretch like many other varieties of cheese. Once it's cooked (you can pan fry it, too) it becomes amazingly soft and squishy inside (and it squeaks on your teeth.) Halloumi only needs a couple of minutes on each side to develop beautiful grill marks, to become a little crispy, but still deliciously warm and soft inside.