Combine the chicken and barbeque sauce in a small saucepan and cook over medium heat just until heated through (about 5 minutes). Set aside.
Preheat the broiler. Place rolls cut side up on baking sheet. Divide the cheddar cheese among rolls. Broil until cheddar is melted (about 2 minutes). Divide the chicken mixture into four portions. Layer chicken, slaw and pickles over the bottoms of the rolls. Cover with the roll tops and serve immediately.