Oh, I do love Wensleydale. I'll have to try them together. I am Canadian, we eat apple pie with extra old cheddar - the sharper, the better.
For rum balls, you take the cake and whiz it in a food processor until you have coarse crumbs (or do what I do and let the DCs tear it apart, then chop the larger fruit bits up). Then take your spiced rum and mix in a bit of cocoa (as much or as little as you like - DH likes heavy cocoa, I like it a bit more middle of the road, the ILs prefer none).
Then mix the rum with the crumbs until you have a modelling clay-like consistency. Do it slowly because of it ends up too loose, it can be a pain to try and get it back to where you want it. Take teaspoon sized balls and roll them until they are smooth. Pop them in the refrigerator for an hour or so to firm up.
Melt chocolate in a double boiler or water bath and dip the rum balls on a fork. Set them on a tray covered in grease proof paper. You can put bits of nut, candied fruit, nonpareils or swirls of white chocolate on them now to tell them apart if you have made them differently. You can let them set on the counter now - if you put them back in the fridge, they may "sweat". They store well not that I know about long term storage, I generally make these and don't tell the family until I have snuck a few for myself in a tightly sealed container like a biscuit tin lined with grease proof paper. If you want to freeze them, do it on a sheet tray, and once they are frozen, you can package them however you like. This will help prevent sweating when they thaw.
The rum is pretty strong in these, if you'd like to make a bit "safer" version for the DCs, you can use orange juice instead of rum as the binder.
If you try them, let me know what you think.