Cut the crusts off your bread slices. Cut each piece in half again. Brush one side with mayo then lay flat, mayo side down, on a lined sheet pan.
Cover with cheeses, jalepeno and pickles. Top with corresponding pieces of bread (mayo side up). Cover loosely with greaseproof and lay a second sheet pan on top to (lightly) weigh down the lot of sandwiches.
Bake for 20 minutes at 200°C. Remove the sheet pan for the last few minutes. Grill if you want a bit more colour!