Wash chicken pieces, pat dry. With your finger, make a tunnel between skin and meat of chicken to about the middle point of each piece. Divide cheese, slide 1 piece of cheese under the skin along the tunnel of each piece. Sprinkle chicken on both sides with salt, pepper and paprika.
Put foil on a baking pan, spray lightly with cooking spray. Put chicken on foil-covered pan. Brush with melted butter and lemon juice. Place oven rack in center of oven.
Broil chicken about 20 minutes on each side, brushing occasionally with pan juices. Turn once, until chicken is done.