Combine red wine vinegar, water, sugar, salt, and star anise in a small saucepan.

Bring to a boil, stirring until sugar and salt are dissolved.

Place thinly sliced apples in a small bowl.

Pour the boiling liquid over the apples.

Let sit at room temperature for 1 hour to pickle.

Drain the apple slices and pat dry with paper towels.

Cook bacon in a large skillet over medium-high heat until golden and crispy.

Drain bacon on paper towels.

Preheat a panini press.

Place bread slices on a clean work surface.

Divide cheddar cheese, bacon, and pickled apples between bread slices.

Top the sandwiches with the remaining bread slices.

Grill in a panini press for 4-5 minutes, until golden brown and cheese is melted.

Transfer to a cutting board.

Cut each sandwich in half and serve.