Place mushrooms upside down in a large baking dish. Layer the inside of the rim of the mushrooms with slices of garlic and rosemary. Drizzle 1 tsp of olive oil in each mushroom and season with pepper to taste.
Cut the haloumi cheese into 4 slices by first cutting along the horizontal plane, then cut these two slices into half. Place 1 slice of haloumi on top of each mushroom.
Bake for 15-20 minutes, or until haloumi is starting to brown.