Cheek was born in St. Louis, Missouri, where his father was the director of a Junior high school band. Cheek began learning to play the alto saxophone at age eleven, and upon graduation from high school, he attended Webster University. He studied at the Berklee College of Music under Joe Viola, Hal Crook, and Herb Pomeroy, and earned his bachelor's degree. He moved to New York City in 1992, where he played with Paul Motian in the Electric Bebop Band, and co-founded Bloomdaddies with Seamus Blake. He also played with Guillermo Klein, Mika Pohjola, Luciana Souza, and David Berkman.