Prepare a grill for medium-high heat. Brush the grill with olive oil.
Put the sirloin, Cheddar, salt, pepper and hot sauce in a bowl and mix. Form into four 8-ounce patties. Grill the patties for 3 to 4 minutes, then flip and grill until cooked to desired doneness, another 3 to 4 minutes.
Meantime, grill the whole jalapenos for a few minutes until blackened. Grill the burger buns until lightly toasted.
Transfer the burgers to the buns. Serve with ketchup, mustard, mayonnaise, lettuce, tomato, onion rings and the grilled jalapenos on the side for everyone to assemble their own burgers.