Paneer/soft cheese and curd though is very easy to make, and requires just the ability to let the milk settle.
You may not get to creating Emmenthal/Parmesan straight away, but there are many other viable steps prior to modern cheese.
Also Bog Butter: http://en.wikipedia.org/wiki/Bog_butter
I don't think sequence is quite right. There are several non-agrarian nomadic peoples that raise large land mammals for their milk. Keeping it in the cow/horse/camel keeps it from spoiling.
Cheese and butter just makes it easier to transport the energy without having to transport the cow.
(fermenting it also gives it longevity and was known in much of the ancient world)
http://en.wikipedia.org/wiki/Kumis