Yes you can cook with frozen cheese without thawing it out first but thawing it out first will help it melt easier and faster and make the food more delicious.
Sometimes you might need to thaw the frozen cheese to grate it or mix it in with the food but if you're just planning on melting the frozen cheese directly onto the food then putting the cheese on the food and putting it in the oven or in a pan will melt the frozen cheese just fine.
The heat from the oven will certainly be hot enough to almost instantly thaw the frozen cheese and start melting it.
I sometimes put frozen cheese directly on casserole when baking it and it melts just fine on the casserole while it's cooking.