Cut butter into 1/2-inch cubes: halve the stick lengthwise, rotate it 90º and slice lengthwise again, then slice crosswise into 1/2-inch pieces. Place in a bowl and pop in the freezer while you prepare the dry ingredients (you want the butter to stay as cold as possible until you're actually baking the scones).
Combine flour, sugar, baking soda and salt in a food processor. Pulse several times to thoroughly mix everything. Beat egg and buttermilk together in a bowl. Set aside.
Core, peel and chop the apple into about 1/4-inch cubes. Set aside.
Add cubed butter to dry ingredients in food processor and pulse until the mix resembles a coarse meal.
Transfer flour mix to a mixing bowl and stir in the thyme. Work it with your hands to break up any remaining butter lumps. Add cheddar and egg/buttermilk mixture and stir to combine. If the dough happens to not be coming together, add a little more buttermilk a tablespoon at a time. But be cautious; the it can become quite sticky. Gently fold in the apple.
With flour-dusted hands, transfer mix onto a lightly floured surface, preferably on a silicone baking mat. Working quickly, shape it into an 8-inch disk, about 1 inch thick, slightly mounded in the center. Again, it can be sticky; dust your hands with more flour or even sprinkle a little over the dough as needed.
Don’t skip this step. Place the dough disk on its silicone baking mat on a hotel pan and pop it in the freezer for 20 to 30 minutes. This will make the notoriously sticky dough much easier to handle and cut into wedges. As in we didn't have to clean the knife once—it just made slice after slice effortlessly.
Using a sharp knife, cut the now chilled and firm disk into 8 wedges.
At this point, we highly recommend freezing the scones to bake later. This helps the end product stay more scone-shaped, not spreading out as the fresh dough can. Also, you can bake fewer scones at a time. There’s not suddenly two of you staring down eight scones. And if you wake up on a random Tuesday morning thinking a scone would start the day just right, you’re that much closer. Transfer the individual scones to a parchment- or silicone baking mat-lined hotel tray pan. Cover with waxed paper and freeze for at least two hours. Then store scones in zippered plastic bags; we do them in sets of two.
Do not thaw scones to bake. Preheat oven to 400ºF and place scones on a lined baking sheet. Sprinkle a little grated cheddar on tops of scones. Bake until golden, 18 – 20 minutes, rotating sheet halfway through. Watch closely toward the end so they don’t brown too much.
Transfer baked scones to a wire cooling rack and cool either slightly or completely, depending on your will power.
You can also bake all or some of the scones right now. If you plan to do this, preheat the oven while the disk is still in the freezer and follow the baking instructions above, but check them at 16 minutes to be on the safe side.